The pricing of floating rate instruments

1998 ◽  
Vol 1 (4) ◽  
pp. 31-51
Author(s):  
Lara Cathcart
Keyword(s):  
Floating Rate

Option Theory and Floating-Rate Securities with a Comparison of Adjustable- and Fixed-Rate Mortgages

1993 ◽  
Vol 66 (4) ◽  
pp. 595 ◽  
Author(s):  
James B. Kau ◽  
Donald C. Keenan ◽  
Walter J. Muller III ◽  
James F. Epperson
Keyword(s):  
Fixed Rate ◽  
Floating Rate ◽  
Option Theory

Measuring the duration of a floating-rate bond

1989 ◽  
Vol 15 (4) ◽  
pp. 67-72 ◽  
Author(s):  
John D. Finnerty
Keyword(s):  
Floating Rate

Floating-Rate Mortgage Securities

2016 ◽  
pp. 354-374
Author(s):  
Airat Chanyshev ◽  
Erin McHugh ◽  
Esther Bruegger
Keyword(s):  
Floating Rate ◽  
Mortgage Securities

Bonds and Interest Rates

2019 ◽  
pp. 257-271
Author(s):  
Tomas Björk
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Rate Theory ◽  
Forward Rates ◽  
Depth Study ◽  
Basic Concepts ◽  
Floating Rate

In this chapter the reader is introduced to the basic concepts of interest rate theory. Starting with a market for zero coupon bonds we define the relevant interest rates such as the short rate, the spot rates, and the forward rates. There is an in-depth study of the relations between the dynamics of these rates, and we also discuss some more applied topics as fixed coupon bonds, floating rate bonds, yields, duration, and convexity.

Floating Rate Notes

2019 ◽  
pp. 265-282
Author(s):  
Aby Abraham ◽  
John Casares ◽  
Jibran Ali Shah
Keyword(s):  
United States ◽  
Risk Factors ◽  
Interest Rate ◽  
Liquidity Risk ◽  
The United States ◽  
Interest Rate Risk ◽  
Flip Flop ◽  
Deposit Rate ◽  
Floating Rate ◽  
Prime Rate

This chapter provides an overview of floating rate notes (FRNs). Although FRNs originated in Europe, their first introduction in the United States came in 1974 when Citicorp sold $650 million worth of its 15-year notes. Since that time, FRNs have evolved into a variety of types. FRN types covered in the chapter include the plain, capped, floored, collared, reverse, super, deleveraged, perpetual, and flip-flop. An FRN can have a maturity of up to 30 years and include periodic interest rate adjustments throughout its life. An FRN uses a reference rate, such as London Interbank Offer Rate (LIBOR), Treasury bill (T-bill) rate, prime rate, or domestic certificate of deposit rate plus a spread to determine its coupon rate. The chapter provides a discussion of such risk factors as interest rate risk, credit risk, call/reinvestment risk, liquidity risk, and market risk. Additionally, it covers FRN valuation using spread for life, effective margin, total adjusted margin, discount margin, and option-adjusted spread methods.

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