SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 4 matches

by sol2
November 13th, 2018, 2:27 pm
Forum: Student Forum
Topic: Value of floating coupon with payment delay
Replies: 0
Views: 117

Value of floating coupon with payment delay

I don’t know theoretically accurate solution to the following problem that I frequently face valuing irregular floating rate notes. Can somebody help me out? Problem Let’s assume that there is a market of zero-coupon risk-free bonds. Price of a bond at time t with maturity at T and face=1 is P(t,T)....
by sol2
November 13th, 2018, 2:19 pm
Forum: Numerical Methods Forum
Topic: Value of irregular floating coupon
Replies: 4
Views: 303

Re: Value of irregular floating coupon

Thank you, bearish!
by sol2
November 9th, 2018, 7:17 am
Forum: Numerical Methods Forum
Topic: Value of irregular floating coupon
Replies: 4
Views: 303

Re: Value of irregular floating coupon

Come on! It should be a simple question for those who know theory... :-( Anyone?
by sol2
November 6th, 2018, 2:51 pm
Forum: Numerical Methods Forum
Topic: Value of irregular floating coupon
Replies: 4
Views: 303

Value of irregular floating coupon

I don’t know theoretically accurate solution to the following problem that I frequently face valuing irregular floating rate notes. Can somebody help me out? Problem Let’s assume that there is a market of zero-coupon risk-free bonds. Price of a bond at time t with maturity at T and face=1 is P(t,T)...
GZIP: On