Consider a floating-rate coupon bond which pays a coupon ci at time Ti, i = 1, .
Question:
ci = (Ti − Ti−1)L(Ti−1, Ti)
and Ti - Ti-1 = ΔT is constant. Show that the value of this bond at time t < T0 is equal to P(t, T0)
Coupon
A coupon or coupon payment is the annual interest rate paid on a bond, expressed as a percentage of the face value and paid from issue date until maturity. Coupons are usually referred to in terms of the coupon rate (the sum of coupons paid in a...
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Related Book For
Organic Chemistry
ISBN: 9788120307209
6th Edition
Authors: Robert Thornton Morrison, Robert Neilson Boyd
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