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.
a) (5 points) What is the duration of this floater?
b) (5 points) What is the convexity of this floater?
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Personal Finance
Authors: Vickie L Bajtelsmit
2nd Edition
111959247X, 9781119592471
