Abstract
As shown in several of those papers, the appropriate immunizing duration is a function of the assumption regarding the stochastic process describing the man? ner in which the term structure of interest rates changes. The theory has been well developed for ordinary bonds. This paper extends the existing literature on duration and immunization to a different type of security, the floating rate note. The floating rate note (FRN) is a debt security in which coupon payments adjust according to changes in interest rates. The coupons are closely tied to cur? rent short-term spot rates, with the result that prices of FRNs are always at or near par value. They became popular in this country in 1974 with a Citieorp issue
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