question archive A 100 face value floater is paying LIBOR on a semiannual frequency
A 100 face value floater is paying LIBOR on a semiannual frequency
Subject:EconomicsPrice: Bought3
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?
