July 2011
Beginner
288 pages
7h 22m
English
Content preview from BOND MATH: The Theory Behind the FormulasBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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An Actual Floater
On June 13, 2006, JP Morgan Chase Bank issued at par value a 10-year floating-rate note paying 3-month LIBOR + 0.33%. Figure 7.1 displays its Bloomberg FRN Pricing Analysis page (YAF) for settlement on August 31, 2010. Its market price is stated to be 92.61077—that's the flat price. At the last reset date on June 14, 2010, 3-month LIBOR was 0.53644%. Interest is paid quarterly (PER = 4), and at the beginning of the period there were 6 years to the maturity date, which is June 13, 2016 (Z = 6). This settlement date is 78 days into a 91-day period (t/T = 78/91).
The interest payment due at the end of the quarter is 0.21902 per 100 of face value, calculated as 0.0053644 + 0.0033) * (91/360) * 100, where R0 = 0.0053644, QM = 0.0033, ...
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