The prices of the floating rate notes depend on two factors: the term structure of interest rates and term structure of interest rate volatility. For the valuation of floating rate notes the interest rate tree is constructed from the term structure of interest and the volatility term structure under the Black-Derman-Toy model. The issue prices and the traded prices of the floating rate notes were collected and analyzed. Empirical results show that the theoretical prices of floating rate notes both are higher than the market prices.