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FRN Examples - Zero Curve

The Zero Curve presented below is used in conjunction with the following examples:

 

Paste this curve into the appropriate cells for each example.

 

Maturity Date

Zero Rates

Discount Factors

 

.

 

2/7/03

0.05126750

0.99986303

 

5/7/03

0.05224771

0.99944203

 

12/7/03

0.05244612

0.99846067

 

19/7/03

0.05246964

0.99748123

 

5/8/03

0.05244366

0.99511058

 

4/9/03

0.05308425

0.99083130

 

5/10/03

0.05298775

0.98651197

 

5/11/03

0.05388333

0.98190494

 

5/12/03

0.05578836

0.97691936

 

5/1/04

0.05567529

0.97247905

 

6/4/04

0.05781825

0.95779752

 

5/7/04

0.05759874

0.94481311

 

5/7/05

0.06217118

0.88562965

 

5/7/06

0.06317771

0.83141518

 

7/7/07

0.06395888

0.77944282

 

5/7/08

0.06480680

0.72978954

 

 

 

 

 

 

 

 

 

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