Published April 1, 2021
| Version v2
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Callable Floating Coupon Note Valuation
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Description
A floating coupon note is a very flexible and generic funding product. The issuer pays the buyer periodic floating coupons based on a spread-adjusted reference rate, such as LIBOR. The buyer pays an upfront fee to the issuer. Also, the buyer pays the issuer a notional amount at inception and the issuer returns it upon cancellation or maturity of the deal.
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https://ia903407.us.archive.org/10/items/fi-callable-frn-18/FiCallableFrn-archive.pdf
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Zenodo-FiCallableFrn.pdf
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