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Suppose that the coupon and the modified duration of a 10-year bond priced at par are 5% and 7.5, respectively. What is the approximate modified
Suppose that the coupon and the modified duration of a 10-year bond priced at par are 5% and 7.5, respectively. What is the approximate modified duration of a 10-year inverse floater priced to par with a coupon of (15%-2*LIBOR)? Note that a floater, also called as a floating rate note (FRN) is a bond with a variable coupon equal to a money market rate, say, LIBOR and that the coupon on the inverse floater cannot go below zero.
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