mar350

sorry for confusion

in my previous message, FDF=Zn=discount factor = 1/(1+Rn)^n

I might have misunderstood the meaning of FDF and Zn in your message.

Everything is valid with this in my previous message.

"I am sure that In CFA Level II: swap rate=(1-Zn)/(Z1+Z2....Zn), {Zn=Discount factor}"

here the discount factor = 1/(1+Rn)^n, where Rn is regular spot rate (not forward rate)

the idea of discounting over 1 interest period using forward rate (which probably confuses you) when pricing a floater explains why floating rate bond equals par (with simplifying assumptions)