Question
Let T0, T1, . . . , Tn be a sequence of times with Ti+1 = Ti + for a constant > 0. A floating
Let T0, T1, . . . , Tn be a sequence of times with Ti+1 = Ti + for a constant > 0. A floating rate bond with notional 1, start date T0 and maturity Tn pays libor coupons of LTi[Ti,Ti+] at times Ti+1 for i=0,1,...,n1, and notional 1at Tn.
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Using a replication argument, find the forward price at t for the floating rate bond (for a forward contract with maturity T) where t < T < T0.
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Economics For Financial Markets
Authors: Brian Kettell
1st Edition
0750653841, 978-0750653848
