A generalized approach to price and duration of non-par floating-rate notes.

[PDF] archive.org

[BOOK][B] LIBOR floors in leveraged loans

R Arscott - 2018 - search.proquest.com
I examine the use of LIBOR floors in US leveraged (syndicated) loans. These options, rare
prior to 2008, provide a minimum interest rate on these otherwise floating rate loans. This …
Save Cite Cited by 2 Related articles All 5 versions Library Search

Negative duration: the odd case of GMAC's floating-rate note

DJ Smith - Journal of Applied Finance, 2006 - search.proquest.com
Bloomberg displays two different measures for the price sensitivity of a floating-rate note, the
first with regard to changes in the discount margin and the second to changes in market …
Save Cite Cited by 4 Related articles

浮动利率债券久期和凸性的研究

林茂， 刘俊 - 数量经济技术经济研究, 2006 - cqvip.com
本文首先推导了浮动利率债券的利差久期, 利率久期, 利差凸性和利率凸性的封闭式计算公式,
适用于任意结算日. 随后对久期的敏感性研究发现, 浮动利率债券的利差久期总体上大于利率久 …
Save Cite Cited by 5 Related articles All 2 versions

A Unified Approach to Interest Rate Risk and Credit Risk of Cash and Derivative Instruments

SI Dym - Handbook of Finance, 2008 - Wiley Online Library
A bond priced different from par is really a par bond plus an instrument whose value equals
that deviation from par. A pure interest rate derivative, such as a bond futures contract or an …
Save Cite Related articles
[PDF] rochester.edu

[PDF][PDF] Quatuor pour flūte, violon, alto et violoncelle, oeuvre 25

P Hänsel - 1810 - urresearch.rochester.edu
I examine the use of LIBOR floors in US leveraged (syndicated) loans. These options, rare
prior to 2008, provide a minimum interest rate on these otherwise floating rate loans. This …
Save Cite Related articles All 2 versions View as HTML

Особенности мер доходности облигаций с переменным купоном на примере сравнения ОФЗ-ПК и ОФЗ-ПД

ДЕ Вилкул, АА Немцева - Финансы и бизнес, 2020 - elibrary.ru
В настоящее время около четверти от общего объема облигаций федерального займа
составляют ОФЗ-ПК, которые относятся к классу облигаций с переменным купоном …
Save Cite Related articles

[CITATION][C] 변동금리채의 기준금리와 차익거래기회에 관한 실증연구

최도성， 고봉찬， 정재만 - 한국증권학회지, 2001 - dbpia.co.kr
본 연구는 국내 변동금리채 시장의 현황을 살펴보고, 합리적인 발행가격결정을 위한기준금리와
가산금리 산정에 대한 실증분석을 수행하고 있다. 변동금리채는 지급이자율이 기준금리에 …
Save Cite Related articles