Question: derive duration and simple margin +0.50% - B AR -1.00% Question 4 (2 marks): Given the following information about the floating rate note, derive it's

derive duration and simple margin

+0.50% - B AR -1.00% Question 4 (2 marks): Given the following information about the floating rate note, derive it's duration and simple margin: Last BBSW 2.05% Quoted Margin 1.55% Face value $100 Current BBSW 2.10% Time to maturity 3 Years Last reset date 30/6/2019 Next reset date 30/9/2019 Current date 3/8/2019 Annual Coupon frequency Current price $102.5 +0.50% - B AR -1.00% Question 4 (2 marks): Given the following information about the floating rate note, derive it's duration and simple margin: Last BBSW 2.05% Quoted Margin 1.55% Face value $100 Current BBSW 2.10% Time to maturity 3 Years Last reset date 30/6/2019 Next reset date 30/9/2019 Current date 3/8/2019 Annual Coupon frequency Current price $102.5

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