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Advanced Fixed Income Analysis, 2nd Edition by Michele Lizzio, Moorad Choudhry

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Chapter 10

Floating-Rate Notes

Abstract

This chapter provides an introduction of floating-rate notes. In particular, we show the structure of this type of instruments as coupon payment, reference rate and day count conventions and the main difference to the fixed-rate bonds. Theoretical model explanation and practical examples have been provided, including trading issues.

Keywords

FRN

Quoted margin

Reference rate

Reset risk

Discount margin

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