Explain how you can replicate the cash flows coming from a 3-year FRN that pays semi-annual coupons

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Explain how you can replicate the cash flows coming from a 3-year FRN that pays semi-annual coupons of LIBOR +4.5% by rolling 6-month loans made to borrowers who also pay the spread of 4.5% above LIBOR on their loans.

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Personal Finance

ISBN: 978-0132994347

5th edition

Authors: Jeff Madura

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Posted Date: Oct 10, 2020 03:33 AM

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Explain how you can replicate the cash flows coming from a 3-year FRN that pays semi-annual coupons

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The person has two investments 1 FRN with payment of LIBOR 45 2 L... View the full answer

Personal Finance

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