The coupon formula for an inverse floater whose reference rate is 6-month LIBOR is as follows: If

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The coupon formula for an inverse floater whose reference rate is 6-month LIBOR is as follows:

If 6-month LIBOR changes by 100 basis points, then what is the impact on the coupon rate for the inverse floater?

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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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The coupon formula for an inverse floater whose reference rate is 6-month LIBOR is as follows: If

Question:

24% -2.75 x (6-month LIBOR + 25 basis points)

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Introduction To Fixed Income Analytics

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