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Unformatted text preview: credit event) and floating rate securities (coupon formula with caps and floors) 1. Coupon rate = reference rate + quoted margin = 1m Libor + 100bps 6. Inverse floater: Coupon rate = 20% - 2 x 3-month Treasury bill rate 1. When will an investor prefer an inverse floater to a floater? 7. Accrued interest, full price or dirty price (with accrued interest) and clean price (without accrued Interest) 8. Provisions for paying off bonds – Bullet (non-callable) vs Amortizing vs Callable 9. Embedded options in a bond - call and put. Prepayment option. 10. Practice questions – 1, 2 & 3 11. End of chapter questions- 1, 2, 3, 7 & 10 12. Homework problems assigned and due next week...
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- Spring '12
- Interest Rates, Treasury bill, Coupon rate structures