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by Jan_Roman
May 11th, 2021, 9:52 pm
Forum: General Forum
Topic: FRN in a multiple curve framework
Replies: 2
Views: 2981

Re: FRN in a multiple curve framework

Hi, I have solved the problem by defining the spread between the index curve (LIBOR) and the treasury curve. Then using the total spread above the index curve as the Discount Margin. In that way I found the price at a reset as 100 + an annuity paining the difference between between the Reset Margin ...
by Jan_Roman
April 27th, 2021, 1:34 pm
Forum: General Forum
Topic: FRN in a multiple curve framework
Replies: 2
Views: 2981

FRN in a multiple curve framework

Hi, Im dealing with valuation of Floating Rate Notes and calculate: 1.) The Present Value 2.) Discount Margin 3.) Modified Duration In a multiple curve framework. I.e., when you generate the cash-flows with a Swap Curve (or any floating rate curve) and discount with e.g., a Government curve + Discou...