What is the price of this inverse floater

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Consider a two-year maturity inverse floating-rate bond. Its coupon reset formula is 10%o-libor. Its discount rate is LIBOR+2%. Now it is at t=0 (this bond was just issued). The current LIBOR is 3% and the term structure is flat.

a. What is the price of this inverse floater?

b. What is the modified duration of this inverse floater?

c. What is the convexity of this inverse floater?

Reference no: EM132054872

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