floating-rate

Hi @David Harper CFA FRM I'm quite confused on why when computing the present value of the floating leg only the notional amount and the LIBOR that corresponds to the last payment date is considered. I don't understand why we don't consider all the other LIBOR rates in the corresponding pay...

Hi David, In FRM handbook, it is given that the duration of the Floating Rate Note immediately after the rate adjust is zero and the duration in the intermediate period is time left till next rate readjustment. In other words, suppose the note readjusts the coupon based on LIBOR every six...