Floater

A floater refers to a floating rate bond.

To price a floater, users need to specify valuation date, remaining maturity (measured in years), interval(measured in years) between payments and margin (in percentage point). Users also have the option to specify the current accrual rate (in percentage point).

The default yield curve used in the calculation is LEDS curve. Users can specify their own yield curves by providing rate inputs. The index rate is determined by the interval between payments. Plutus Analytics platform also allows non-standard index structure. Please contact us for more information.

In addition to a standard set of risk analytics produced, users may request other risk analytics. Please contact us for more information.