Re: Duration and Convexity of a Floating Rate Bond

Posted by asavoldi on Dec 10, 2013; 7:48pm
URL: http://quantlib.414.s1.nabble.com/Duration-and-Convexity-of-a-Floating-Rate-Bond-tp14689p14714.html

Dear Luigi,

thank you so much for your kind answer. Regarding your suggestion I will try the illustrated method for calculating Duration of a floating rate bond. I would like to ask a further question about this topic. Let us suppose to have the market (fair) price of an FRN with the related date (issue date, frequency, next coupon date, etc.). Is it possible to infer the Duration from the market price without having to deal with discounting and forward curves ? (basically with the same approach we might use to calculate Bond indicators (e.g. yielld to maturity, duration, convexity...) of a zero coupon and fixed rate bond).

Thanks in advance,
Regards,
Antonio