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Happy Birthday David...

Please visit, https://forum.bionicturtle.com/threads/exam-logistics.6150/#post-19373 https://forum.bionicturtle.com/threads/exam-day.9531/#post-45984 thanks

Hi Interest rate risk can arise on Balance sheet that is difference in Asset and Liabilities(gap) can vary based on fluctuations in the interest rate as assets and Liabilities react differently to the changing interest rates,also the interest rate risk could arise in trading book whereby the...

Hi , The payoff does not includes the costs or the investment that you have made in the Bull and Bear Spreads therefore the payoff is always K2-K1 here. Similar to call option where the payoff is max(ST-K,0) not max(ST-K,0)-premium. thanks

Does anyone has Hull Option,futures&derivative book pdf..please upload in resources section or mail me

Hi, std.dev(60 daily log-returns)that you obtained is the average value of the daily volatility(not 60 day volatility,please look at formula carefully) so you scale it by sqrt(252) as there are 252 days in a year to get the annualized vol. thanks

Nicole,please let it accrue.. thanks

Regarding Bond Question we just need to match the cash flows. Let weight be w on the 4% 1 year maturity bond so that Cash flow in after year 1=102*w=101.5(cash flow from 3% 1 year treasury bond after 1year) => w=101.5/102=.995 Cash flow after 6...

All the best to all who are taking the exam. Really testing times. thanks

Hi, Pr(X>116)+Pr(X<32) ..(116=mean+1.5*σ=80+36,32=mean-2*σ=80-48) =Pr(z>(116-80)/24)+Pr(z<(32-80)/24) (convert to standard Normal) =Pr(z>36/24)+Pr(z<-48/24) =Pr(z>1.5)+Pr(z<-2) =0.0668+0.0228 =0.0896 thanks

Hi, we are seeing the effect on the portfolio value only,we just net out the loss/gain of futures from portfolio. If S&P changes by 1% then portfolio value changes by 1%=.75*.01*100 million=750,000. The Futures value changes by 1250*250*.01*336=1,050,000 just add this profit of futures into the...

Hi, Let the S&P changes by x% then the portfolio value shall change by .75*x%*100 million. Let N be the No. of futures contracts on the S&P500 to increase the portfolio´s beta to 1.8 so that futures position changes by 1250*250*1*x%*N(beta of futures=1), Net portfolio position changes by...

hi normal contango when expected future spot(E(ST))<Forward Price(F(0,T)) and contango when spot price(S(0))<Forward Price(F(0,T)). thanks

Hi spot is used to explain contango market while expected future spot is used to explain normal contango market. thanks

For your II Question 1) The relations really works see below:

Hi, Here is an example i tried on excel sheet that illustrates the above situation in the question:

F-test is used to compare two samples variances and conclude whether they are drawn from the same population.F=s1^2/s2^2,s1>s2. Chi test is used to test whether the population variance is equal to a hypothesied value.Ch- stat=(n-1)*s^2/sigma^2. thanks

Hi When annual volatility is multiplied by SQRT (1/12) to get the monthly volatility its equivalent to saying that the annual volatility is converted into a monthly volatility by dividing by SQRT(12).So we time scale the annual volatility by SQRT (1/12) to get monthly volatility. thanks