Question
Consider a 10-year maturity floater whose coupons reset every 3 month (i.e., a quarterly coupon-paying floater). Current 3-, 6-, 9-, and 12-month yields are 1%,
Consider a 10-year maturity floater whose coupons reset every 3 month (i.e., a quarterly coupon-paying floater). Current 3-, 6-, 9-, and 12-month yields are 1%, 1.2%, 1.2%, and 1.3%, respectively..
-What is the duration of this floater?
-What is the convexity of this floater?
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Analysis for Financial Management
Authors: Robert C. Higgins
10th edition
007803468X, 978-0078034688
