Floating rate notes are valued in exactly the same way as a standard fixedcoupon bond, i.e., discounting the future coupon payments from the FRN back to the settlement date. There are however at least two complications associated with applying the generic bond price formula to an FRN, and both relate to the determination of the uncertain future coupon amounts: 



To reinforce the last point, note that in general the coupon amount for the i'th coupon period of an FRN (per $100 face value), assuming that the rate reset frequency and the payment frequency are the same, is computed as:
c_{i } = coupon amount for the i'th coupon period.

Quite clearly, the assumption regarding the treatment of coupon dates will potentially cause the calculated value of DIP to change across coupon periods. If the "actual" number of payment dates is used in the calculation, the resulting coupon period lengths will differ and this will give rise to different coupon payments even if the reference rate is assumed to be the same for all reset dates. 

The price/yield calculations of FRN's can be based upon three sets of assumptions. 

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