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Re: Duration and Convexity of a Floating Rate Bond

Posted by asavoldi on Dec 17, 2013; 3:50pm
URL: http://quantlib.414.s1.nabble.com/Duration-and-Convexity-of-a-Floating-Rate-Bond-tp14689p14754.html

Yes correct. You might use ZCB_value(t) = FaceValue / (1 + ytm)^n, where ytm is the yield to maturity, n are the periods to redemption, and ZCB_value(t) is the current market value. For other sensitivity indicators (e.g. Duration) we might use the standard formula (D = (-1/P)*dP/dytm). Another way to calculate the duration of a ZCB, as well as for an FRN (Floating-Rate-Note), is by calculating the time to maturity (i.e. D = (t_maturity - todaysDate)/365).

Regards.