Capped Floatter

How is the value of 99.044 calcuated in top node of year 2, in exhibit 22, page 323 of CFAI.

Pg 323 bk 6 or bk 5?

Simple : Upper=(98.215+7.0053)/1.070053 Lower=(99.738+7.0053)/1.070053 Mid = (Upper+Lower)/2 = 99.044 a floater has coupon and discount the same.

The coupon for year 3 is the one set at end of year 2, that’s the only trick. Nice going everyone.