标题: calculate a cash flow [打印本页] 作者: a22349 时间: 2013-8-19 12:38 标题: calculate a cash flow
please help to cal this cash flow
A bond with quarterly payment frequency, coupon is based on a formula = 8% - Libor3M with floor 3% and cap 7%. The interest rate is reset at the beginning of each quarter and current Libor3M = 3%, 3M forward = 4%, 6M forward = 5%, 9M forward = 0.5%, please calculate all interest cash flows within 1 year, Act/365
