Projecting Coupons on Floating Rate Bond

drona · April 25th, 2010, 8:58 pm

Hi,Very basic question:When you have a floater bond let's say 5 years maturity resetting quarterly, how do you project coupons for the life of the bond, I donot believe a term structure for LIBOR USD exists for terms that long. Is the practice to use swap curve.regards

drona · April 25th, 2010, 10:24 pm

I know about forward rates - but I am really asking is libor projections at terms where no spot exists i,e libor > 1 year does not exist I think .tks

almostcutmyhair · April 25th, 2010, 11:35 pm

use the swap rates

daveangel · April 26th, 2010, 8:50 am

if you have a yield curve your should be able to infer the forward LIBOR rates from the curve.

nikag · April 26th, 2010, 11:21 am

Use bootstrapping technique to derive spot rates from libor rate till 1 yr and swap rates till 30ys . Derive the forward rates from this spot curve

drona · April 26th, 2010, 5:02 pm

Thanks,On a different topic, I was hoping to find more about constant maturity commodity curves and their need in commodity risk management. Google hits are a bit too much for me to understand.The question is what is the need for constant maturity curves in commodity risk management.-regards