Find the price at t0 of the floating rate bond

Assignment Help Financial Management

Reference no: EM131243599

Floating rate bond Let T₀, T₁, ... , Tn be a sequence of times with T_i+1= T_{i + α}for a constant α > 0. A floating rate bond with notional 1, start date T₀ and maturity T_npays libor coupons of αL_Ti [T_i, T_{i + α}] at times T_i+1, for i = 0, ... , n - 1, and notional 1 at T_n.

(a) Find the price at t₀ of the floating rate bond.

(b) Using a replication argument, find the forward price at t for the floating rate bond (for a forward contract with maturity T), t₀.

Reference no: EM131243599

Questions Cloud

Is this a qualitative or quantitative design and why : Is this a descriptive, correlational or experimental design and why? What would be an example of a variable for this study that could be measured on a nominal scale? Ordinal scale? Interval scale? Ratio scale? Once you have collected your data, w..

Verify passivity and dissipativity of the systems : Lyapunov Control Design. Useing Lyapunov techniques, design controllers to stabilize the following system. Plot time histories of the states to verify your design. Verify passivity and dissipativity of the systems.

Build a new website system for a publishing company : You are a systems analyst and you are tasked to build a new website system for a publishing company. You have a solid experience is with traditional data and process modeling techniques. Recently, you learned an object-oriented approach and you de..

Define the three types of data flow : Q1: Define the three types of data flow. Q2: What are the two principles of Protocol Layering? Q3: A sine wave is offset 1/4 cycle with respect to time 0. What is its phase in degrees and radians?

Find the price at t0 of the floating rate bond : Find the price at t0 of the floating rate bond. - Using a replication argument, find the forward price at t for the floating rate bond (for a forward contract with maturity T), t0.

Project to calculate the amount due for rentals : Design and code a project to calculate the amount due for rentals. Movies may be in VHS (videotape) format or DVD format. Videotapes rent for $1.80 each and DVDs rent for $2.50. New releases are $3 for DVD and $2 for VHS.

Difference between value of swap and stock forward contract : Is the value of a forward contract on a stock St necessarily bounded above and below? Explain the key difference between the value of a swap and a stock forward contract.

What technique will be used for data collection : Provide operational definitions for each variable. How will you measure each variable? Discuss the reliability and validity of these measures in general terms. What technique will be used for data collection (e.g., observation, survey, interview, arc..

Creating tables with microsoft access : Create an Access database with two tables using the graphical capabilities of the product (vs. SQL). One table is called STUDENTS and has fields for Student_ID, Last_Name, First_Name, Major, DOB (i.e., date of birth), Zip_Code, and GPA. The othe..

User Account

All Pages