Question
Use the following information for Problems 36 through 39; assume today is Nov 15, 2019. Maturity Nov20 Nov21 Nov22 Nov23 Nov24 Nov25 STRIPS Price $953.13
Use the following information for Problems 36 through 39; assume today is Nov 15, 2019.
Maturity | Nov20 | Nov21 | Nov22 | Nov23 | Nov24 | Nov25 |
STRIPS Price | $953.13 | $901.56 | $849.06 | $790.94 | $742.19 | $695.00 |
CHALLENGE QUESTION: While not shown in the table, suppose you also had data for STRIPS market prices on May 15 of every year from 2020 through 2025. You want to value a 3-year maturity floating rate note today that pays a coupon of R + 100bp every six months, where R is the annualized 6-month spot STRIPS yield on a reset date for the floater. To forecast the dollar figure for the cash flow payment that will occur exactly 2 years from now for this floater, what two pieces of information from the augmented STRIPS pricing table would you need to perform the calculation?
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