Consider the following floater: Maturity= 6 years Coupon rate = reference rate plus 80 basis point resets

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Consider the following floater:

Maturity= 6 years Coupon rate = reference rate plus 80 basis point resets every six months Maturity value = $$100$ Market price = $$99.1381$ Reference rate = 10%

Using an Excel spreadsheet, calculate the discount margin.

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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 the following floater: Maturity= 6 years Coupon rate = reference rate plus 80 basis point resets

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Introduction To Fixed Income Analytics

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