I need some help pricing Floating Rate Notes using a one-factor Hull-White trinomial tree. If the tree levels are, say, bi-annual, and the reset of the FRN is 1, the paymant dates will fall every other tree level. If that happens, how can I calculate the payments between reset dates given that there can be several paths that connect two consecutive "payment nodes" and hence several "effective rates"? The problem stems from the recombining nature of the tree, so I can only assume that this issue arises in all recombining tree models (HW, BDT, etc).Thanks,LBPS Additionally, how can one price monet markets? This questions goes along the same lines..

Your problem can be phrased more generally as how to price path-dependent instruments on recombining trees. The answer is you can't use arbitrage arguments, for the reason you give: the node does not uniquely identify the value of the instrument. But Monte Carlo arguments still work, you can compute the average value of future cash flows at each node.