Duration of a Floater

swarnendupathak
Finance Junkie
Posts: 119
Joined: Mon Sep 17, 2012 11:06 am

Duration of a Floater

Postby swarnendupathak » Mon Oct 29, 2012 4:03 pm

Hi, Just a meta issue,
Just wanna to know, is the duration of a floater is always Zero???? & if so, is it due to reset of interest????
Please help..

Swarnendu

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content.pristine
Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

Re: Duration of a Floater

Postby content.pristine » Mon Oct 29, 2012 5:06 pm

The duration is approximately equal to the next reset date.
For a daily reset duration = 1/365 which is almost 0.
For a semi annual reset = 1/2..

8-)

swarnendupathak
Finance Junkie
Posts: 119
Joined: Mon Sep 17, 2012 11:06 am

Re: Duration of a Floater

Postby swarnendupathak » Mon Oct 29, 2012 5:11 pm

Ya got it... thanks a lot

Swarnendu


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