Consider a floater whose coupon formula is 3-month LIBOR plus 45 basis points and delivers coupon payments

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Consider a floater whose coupon formula is 3-month LIBOR plus 45 basis points and delivers coupon payments quarterly. The flat price of the floater is 99.99 and the floater has 345 days until maturity. What is the spread for life?

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Introduction To Fixed Income Analytics

ISBN: 9780470572139

2nd Edition

Authors: Steven V. Mann, Frank J. Fabozzi

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Question Posted: Apr 29, 2024 04:00 AM

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Consider a floater whose coupon formula is 3-month LIBOR plus 45 basis points and delivers coupon payments

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Introduction To Fixed Income Analytics

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