Question
A two-year floating-rate note pays 6-month Libor plus 100 bps. The floater is priced at 96 per 100 of par value. Current 6-month Libor is
A two-year floating-rate note pays 6-month Libor plus 100 bps. The floater is priced at 96 per 100 of par value. Current 6-month Libor is 1.50%. Assume a 30/360 day-count convention and evenly spaced periods. What is the discount margin for the floater in basis points?
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Canadian Multinationals And International Finance
Authors: Gregory P. Marchildon, Duncan McDowall
1st Edition
0714634816, 978-0714634814
