A 100 face value floater is paying LIBOR on a semiannual frequency. Today is t=0, 6 month

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A 100 face value floater is paying LIBOR on a semiannual frequency. Today is t=0, 6 month LIBOR is equal to 6.78% (annualized), hence the first coupon 6 month from today will be $3.39.

a) What is the duration of the floater at t=0?

b) What is its modified duration?
c) What is its convexity?

Related Book For answer-question

Principles of Finance

ISBN: 978-1285429649

6th edition

Authors: Scott Besley, Eugene F. Brigham

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Posted Date: Apr 22, 2020 07:06 AM

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A 100 face value floater is paying LIBOR on a semiannual frequency. Today is t=0, 6 month

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Definition A floater is nothing else except a floating rate noteIt is simply a floating rate note whose rate is reset to the next nperiod rate of a LI... View the full answer

Principles of Finance

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