Spread Duration Of Floating Rate Bond at thomasvbriceo blog

Spread Duration Of Floating Rate Bond. floating rate bonds are also subject to spread duration [3] basically, spread duration approximately measures the change in a floating rate. With zero spread the price of the bond is given by:.

Floating Rate savings Bonds2020(Taxable)Saving Bonds schemeFloating
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Spread duration is a measure of price sensitivity to changes in dm (credit spread) assuming there is no. With zero spread the price of the bond is given by:. i need to calculate the duration of a floating rate bond with spread.

Floating Rate savings Bonds2020(Taxable)Saving Bonds schemeFloating

Spread Duration Of Floating Rate Bond i need to calculate the duration of a floating rate bond with spread. Adding to the answer of tim: The effective spread is the average margin over the benchmark rate that is expected to be earned over the life of. The duration of a floating rate bond is the time t until the next coupon payment, as your equation shows.