Macaulay Duration for FRN

[jcjc0602]

Hi, David,

Thanks for your previous reply!

I have a question about Duration:
Suppose I have a FRN starting at reset date, then it will have a duration of zero, which I can understand since the price of it will not be affected by changing of the rates. However, when I tried to calculate the duration by using the knowledge that duration is a sum of weighted times (Macaulay Duration). In this way, how can I get a zero when the weights sum up to one and the times are all positive?

Thanks for your time!