Login  Register

Re: Duration and Convexity of a Floating Rate Bond

Posted by Luigi Ballabio on Dec 16, 2013; 4:00pm
URL: http://quantlib.414.s1.nabble.com/Duration-and-Convexity-of-a-Floating-Rate-Bond-tp14689p14743.html

You mean by using some closed formula involving a constant yield? How
would you do it for a fixed-rate bond?

Luigi

On Tue, Dec 10, 2013 at 8:48 PM, asavoldi <[hidden email]> wrote:

> 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
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Duration-and-Convexity-of-a-Floating-Rate-Bond-tp14689p14714.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> Rapidly troubleshoot problems before they affect your business. Most IT
> organizations don't have a clear picture of how application performance
> affects their revenue. With AppDynamics, you get 100% visibility into your
> Java,.NET, & PHP application. Start your 15-day FREE TRIAL of AppDynamics Pro!
> http://pubads.g.doubleclick.net/gampad/clk?id=84349831&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users



--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

------------------------------------------------------------------------------
Rapidly troubleshoot problems before they affect your business. Most IT
organizations don't have a clear picture of how application performance
affects their revenue. With AppDynamics, you get 100% visibility into your
Java,.NET, & PHP application. Start your 15-day FREE TRIAL of AppDynamics Pro!
http://pubads.g.doubleclick.net/gampad/clk?id=84349831&iu=/4140/ostg.clktrk
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users