Equation 7.3 provides a general pricing formula for a floating-rate note. It is repeated here.

*MV* is the market value of the floater, including accrued interest; *INT* is the next interest payment; *FV* is the face (or par) value; *PV _{ANN}* is the present value of the annuity representing the difference between the quoted margin (

The Macaulay duration of the floater (*MacDurFRN*) follows the Chapter 6 equation 6.3.

Using A7.1, the first derivative of *MV* with respect to the yield ...

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