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)....
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)...