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  • HW 04

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    Laura Lu
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    1) A floating rate security's price sensitivity depends on whether the market-desired spread changes. The quoted margin in the coupon reset formula reflects the spread. Spread duration measures a floater's price sensitivity to a change in the spread. 2) An inverse floater is typically created from a fixed-rate security. Two bonds, a floater and an inverse floater, are created from the collateral. They are structured so that the cash flow from the collateral can satisfy the obligations of both bonds. 3) A table shows benchmark spreads, relative yield spreads, and yield ratios for various bonds.

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    1) A floating rate security's price sensitivity depends on whether the market-desired spread changes. The quoted margin in the coupon reset formula reflects the spread. Spread duration measures a floater's price sensitivity to a change in the spread. 2) An inverse floater is typically created from a fixed-rate security. Two bonds, a floater and an inverse floater, are created from the collateral. They are structured so that the cash flow from the collateral can satisfy the obligations of both bonds. 3) A table shows benchmark spreads, relative yield spreads, and yield ratios for various bonds.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
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    6 views1 page

    HW 04

    Uploaded by

    Laura Lu
    1) A floating rate security's price sensitivity depends on whether the market-desired spread changes. The quoted margin in the coupon reset formula reflects the spread. Spread duration measures a floater's price sensitivity to a change in the spread. 2) An inverse floater is typically created from a fixed-rate security. Two bonds, a floater and an inverse floater, are created from the collateral. They are structured so that the cash flow from the collateral can satisfy the obligations of both bonds. 3) A table shows benchmark spreads, relative yield spreads, and yield ratios for various bonds.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
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