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I might be slightly off (since I'm typing in a phone) but hopefully you get the gist...

The value of R will be constant if using a yield and R would change for each zero....but you will arrive at the same market price in either case. Consider a 2 year bond with an 8% coupon convertible semiannually. Assume the yield is also 8%. Then we would have a market price of 100 and we...

I think so - your phrasing is a little confusing to me and the fact that this question is under "calculation of change in a bond's price ... " is also a bit confusing. To restate my point. If you are given a set of zero rates, you can determine a bond price. (You needn't know anything about...

If you are given spot rates, you can use them assuming they correspond to the appropriate times until each cash flow. For example, consider a 2 year bond that pays coupons every 6 months. You can use a 6 month zero, a 1 year zero, and a 1.5 year zero to determine the corresponding 6 month...

Thanks @ShaktiRathore Then, This is essentially a straight-forward application of determining forward rates and/or zero rates with a given set of zero rates. I think I understand. A LIBOR/Swap Zero is simply a zero. (I still wonder why it isn't simply called a zero rate and why we need to...

I understand that a 2-year swap rate is not the same thing as a 2-year zero rate because a 2-year zero rate is very clear to me. I am unclear on what is meant exactly by a 2-year swap rate. Hull uses the phrase "LIBOR/Swap Zero rate" and the phrase "Swap Rate". I am not clear on the...

Hull says that we are given 6-month, 12-month, and 18-month LIBOR/Swap Zero rates and then he gives a 2-year swap rate. What is the difference between a LIBOR/Swap Zero rate and a Swap Rate?

I understand why a 2 year swap rate would be less than a 2 year bond rate, all else equal, since the swap is re-extending 6 month borrowings to AA borrowers each 6 month period whereas the bond is lending once to a AA borrower at time 0. Along those lines, I suppose a 2-year swap should also be...

Example 10.1 in Hull's Chapter 7. Suppose that the 6-month, 12-month, and 18-month LIBOR/Swap zero rates are 4.0%, 4.5%, ad 4.8%, respectively, with continuous compounding. Also, assume that the 2-year swap rate is 5.0%. Solve for the 2-year zero rate. My questions are: 1) Isn't the...

Sure @Deepak Chitnis - I have worked in Finance since 1998 and the most important computer skills, in my humble opinion, relate to Excel and SAS. After that, I would favor Matlab and lastly, C+ or C++. From an applied finance perspective, SAS and Excel are truly industry standards.....SAS...

I came across a subscription based site for VBA and Excel called SpreadsheetSuperstar. Can't speak to it very deeply but I suspect it is informative. Brian

I find this a little unintuitive, although I do have it stored in memory. Let spot at time 1 = 100 and futures at time 1 = 80 and spot at time 2 = 120 and futures at time 2 = 110. Clearly, basis at time 1 = 20 and the basis at time 2 = 10, so the basis has weakened. The magnitude of the...

I think we can simplify this a bit - the expected value of a lognormal random variable Y=e^X, or E(Y) is e^(m+0.5v^2) where X is distributed as N(m,v^2).

I agree with @ShaktiRathore - it really depends on the individual. For example, I have a friend that studied for 2 weeks and then sat for both levels of the FRM and passed both - he is an anomaly and I suspect he doesn't remember much of it. I would focus on 1 at a time.....but primarily...

Got it! Thanks!

Hi Nicole - I don't think I ever received the code for last week's win. Thanks Brian

I can't wait to be able to say this!

@jairamjana - Thanks for that list! I don't think "Stochastic" calculus would be covered in the texts you listed, although the building blocks of calculus, probability and measure, and algebra would be. For"stochastic" specific subject matter, related to finance, Shreve's texts should be good.

Stochastic Calculus for Finance I and II by Steven Shreve are classic texts.

CFA is most recognized financial certification on the globe. Even if you are not looking to work in financial analysis, it is valuable! I will pursue it after passing Part II of the FRM. Good luck - I say go for it!