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What is the convexity of this floater

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Reference no: EM132789241

Question - Consider a 10-year maturity floater whose coupons reset every 3 month (i.e., a quarterly coupon-paying floater). Current 3-, 6-, 9-, and 12-month yields are 1%, 1.2%, 1.2%, and 1.3%, respectively.

Required -

a) What is the duration of this floater?

b) What is the convexity of this floater?

Reference no: EM132789241

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