Chapter 7: Floaters and Linkers

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; PVANN is the present value of the annuity representing the difference between the quoted margin (QM) and the discount margin (DM), y is the yield used to discount the future cash flows, and t/T is the fraction of the period that has gone by.

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 ...

Get BOND MATH: The Theory Behind the Formulas now with the O’Reilly learning platform.

O’Reilly members experience live online training, plus books, videos, and digital content from nearly 200 publishers.