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Valuation of Floating Rates Notes - An Algorithmic Approach

PRM Awoga CPA (Oluwaseyi (Tony).)

出版	SSRN, 2017
URL	http://books.google.com.hk/books?id=W4D6zgEACAAJ&hl=&source=gbs_api

註釋

This essay explores different methodologies for determining the fair value of floating rate notes in a practical and reproducible manner. Along the way, we explored different methodologies for bootstrapping the forward rate and discount curve and thoroughly explained other concepts that are germane to understanding the valuation of FRNs.