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标题: Floating Rate Duration [打印本页]

作者: Viceroy 时间: 2011-7-11 18:59 标题: Floating Rate Duration

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?

作者: bodhisattva 时间: 2011-7-11 18:59

i believe u mean hlf the time in between coupon payments

作者: liangfeng 时间: 2011-7-11 19:00

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

作者: Analti_Calte 时间: 2011-7-11 19:00

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

作者: Windjam 时间: 2011-7-11 19:00

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

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