Floating Rate Duration problems, payment, always, annual

Viceroy

According to the text p.483 last complete paragraph

That a floating rate bond's duration for the math problems is 1/2 Time to payment

So
If quarterly use .125
If semiannual, use .25
if annual use .5

If 10 years use 5, etc....


Does that look right? Its always half of the time till payment?

bodhisattva

i believe u mean hlf the time in between coupon payments

liangfeng

well, if it is a floating rate duration with payments every 10 years wouldnt you use 5? lol...

Analti_Calte

ha yeah whoops. i need to stop studying today. my brain is not working.

Windjam

ha haaa tell me this isnt a "CFAI-like" concept. the question would be framed around a 40 year swap with decadely settlement