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Hi David, concerning L1 2011 Wevinar, i do not find spreadsheet you mentionned in first video. Could you inform me for the link ? Thanks Hervé

Hi David, I also appreciate annotated exam. Thanks, Hervé

Hi David, thanks for your reply. I need to see further. 1/Value a currency swap based on a sequence of FRAs (p17of 123). Another way to compute is to have a present value approach : - On USD side, compute PV of USD Cash flow - on JPY side, i) compute Future Value of JPY cash flow, ii)...

Hi David, in "Calculate the theoretical futures price for a Treasury bond futures contract" (Page 56 of 123), i do not understand what period cover the 35 days in this formula : "Quoted futures price = $125.095 – (6 * 148/(148+35))". Sould not be 148/365 ? I know that is is detail and that...

Hi David, no problem for the delay. Here is Xls Thank you. Hervé

Foundations_ Chapter-3 : Stulz.pdf Hi David, I am a confused concerning several concepts in this document: 1/ Q 44-1 : • Debt Equity Ratio at the beginning is without taking account of project and D/E ratio at end take into account project? • Value of D/E ratio at end of year is...

Hi David, "Convert discount rate to price for Tbill". Could we see the pb like that : i) Cash price=Face value-Future cash flow (not discounted). Future CF=Disc rate%*Face Value*nb days/360. Investor pay now a price that is face value minus cash flow that he will receive at maturity {...}...

Hi David, Thanks for the compliment. Coming from you it is very motivating. Frankly, it is a pleasure to discuss about these kind of (sometimes theorical) ideas with you. Regards Hervé

Hi David, thanks a lot again. That allow me to fix (and correct) lot of concepts. Another brick in my building block learning... Sorry have been provocative... Regards. Hervé

Hello David, sure, that help. I do agree with you : my explanations are far from clear. Thread you mentionned is very helpful (difference in treatment for “alpha” and “TE” is very instructive). Thannks a lot Hervé

Hello David, In pdf document you propose, for Q:32-4, I try to find a reasoning to reach at formula used (i.e. T=(t-stat/IR)^2). 1/If we set Alpha as random variable with mean 1% and Standard Deviation=10% (IR ?); and if we scale mean by nb of period (n) we obtain Mean(n)=1%*n and if we scale...

Hello David, Thanks a lot for your reply. If I try to summarize with my own words (to check understanding again): 1/ Fo=So*exp(Rf) b/c of cost of carry model. Could we say that ST=Fo b/c there is no uncertainty in that sense that we know Rf, So and that we do not introduce expected parameter...

Hello David, difference between future price and expected future spot price is that for the latter we do not take not acount systematic risk of the asset ? In this case, is relation for Fo=E(ST) exp(k) with k=Risk free+Beta*(Excess risk premium relative to market) ? If we talk about investment...