NO.PZ2016082402000046
问题如下：
A money markets desk holds a floating-rate note with an eight-year maturity. The interest rate is floating at the three-month LIBOR rate, reset quarterly. The next reset is in one week. What is the approximate duration of the floating-rate note?
选项：
A. 8
years
B. 4
years
C. 3
months
D. 1
week
解释：
ANSWER: D
Duration is not related to maturity when coupons are not fixed over the life of the investment. We know that at the next reset, the coupon on the FRN will be set at the prevailing rate. Hence, the market value of the note will be equal to par at that time. The duration or price risk is only related to the time to the next reset, which is one week here.
老师，可不可理解成每次rest都会是2一个星期，如果题目rest为一个月那就是一个月
