Consider a floating rate note.
nominal: € 100 000 000
coupon period: annualy
remaining time to maturity: 7 years and 3 months
The coupon amounts to 3.3%, the current 3M-money market rate amounts to 3.7% and the volatility of the 3-month discount factor amounts to 0.1% p.a.
How do I value this floating rate?
Thanks in advance!
You need to know the index on which the floating rate is based, whether there’s any spread in the rate over that index (and what it is, should there be one), and what the market thinks the spread should be. The first two are easy; the last one’s difficult without additional data: trading prices on the note, credit rating on the note, something.
@S2000magician
Well, I need to calculate the 10-day 99% Value at Risk for this position and that is the only info I was given.
So you say, we need more info to calculate this?