问题如下图:可以理解为,浮动利率的Duration,在每一个时间点都不同吗?(从计算当天至下一个reset date)谢谢
选项:
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解释:
NO.PZ2016082402000046 4 years 3 months 1 week ANSWER: ration is not relateto maturity when coupons are not fixeover the life of the investment. We know ththe next reset, the coupon on the FRN will set the prevailing rate. Hence, the market value of the note will equto pthtime. The ration or pririsk is only relateto the time to the next reset, whiis one week here. 老师,可不可理解成每次rest都会是2一个星期,如果题目rest为一个月那就是一个月
ration= time to reset 可以这样理解么
请问这个问题是讲的什么意思呢