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Bond Math and Pricing
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Module 6
Pricing Floating Rate Notes
1
Understanding Floating Rate Note Cash Flows
Model the cash flow structure of a floating rate note (floater) linked to a reference index (e.g., LIBOR, SOFR).
2
Valuing Floaters at Par on Reset Dates
Prove mathematically why a standard floater is valued at par on its reset dates.
3
Floater Pricing Between Resets: Forward Rate Curve Application
Derive the pricing formula for a floater between reset dates using the constructed forward rate curve.
4
Pricing a Floating Rate Note with Python
Implement a Python function to price a floating rate note using a given term structure.
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Synthesizing and Interpreting Complete Yield Curves
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Pricing Inverse Floating Rate Notes