Question
Please help with this short question! Thank you !! Consider a 10-year maturity floater whose coupons reset every 3 month (i.e., a quarterly coupon-paying floater).
Please help with this short question! Thank you !!
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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Financial Management For Decision Makers
Authors: Peter Atrill
7th Edition
129201606X, 978-1292016061
