Microsoft PowerPoint - PoF.ppt

Perfectly indexed FRNsƒ 123

Perfectly indexed FRN

= a floater

indexed to a MMT

rate

with

natural time lag

which is

reset in advance

and

has

no additional features

(

) Tr

t

tr

r

r

FV

PV

FV

PV

p

i

FV

PV

Tr Trt

tr

t

t

date

reset

t

<

<

=

+ +

=

⇒

=

=

=

=

=

0

;

1

1

.

. , (^0) ,
0
Multi-period deterministic cash fl
ows: FRNs - Perfectly indexed FRNs