7Given a Government Floating Rate Note with coupon 1 year government rate using the following Zero Coupon Curve with a first 3% coupon already fixed 6 months ago that will be paid in 6 months.

6 months Zero Coupon Rate: 3,8%

1.5 years Zero Coupon Rate: 4%

2.5 years Zero Coupon Rate: 4,5%

3.5 years Zero Coupon Rate: 5%

Compute Duration

0,5 years

1 year

0,490677 years

3 years