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Thank you very much !

*correction; I meant used in the Sortino ratio not IR

Thanks David. I think I get it; because of the price to par behaviour of the FRN on the reset date, the FRN is valued at par and before the next reset it is valued at par + the next CF ?

Thanks very much David, it makes sense when I see it in black and white. Another question though. In your Youtube video on the topic you (using the method where you value the swap as 2 bonds) valued the floating rate bond as the PV of the notionl and the first CF ... why include the first CF...

Hi all, Is there some shortcut to calculating semi-variance (mean squared deviation / used in information ratio) ?

Thanks all very much for your replies. I'll review them and reply if I still am unclear.

I think I can clean up my question a bit: When the reset occurs the floating rate bond must be priced at par .. why is this ? Is it because the rate will change and thus the coupon will change and not just the discount factor ?

Hi David, I don't fully understand how to value a plain vanilla swap as a fix rate and floating rate bond. In your Youtube video, for the floating rate bond you price it as PV (1st coupon + notional). Why don't you take into account the other floating rate coupons that take place during the life...