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rayso33
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Joined: March 23rd, 2009, 8:08 am

Interest Rate risk on FRN

December 29th, 2009, 11:20 am

Dear friends,I tried to calculate the interest risk on FRN. I have calculated the NPV of the FRN, and then moving the discount curve and libor curve up at the same time. It will generate a +ve pvbp when the FRN price is discounted. I tried to verify my calculation with Bloomberg, but the result is very different. Do anyone other system of calculator can help.Thanks