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Thanks Nicole, please let it accrue.

Coskweness measures the skewness of one variable with respect to the other variable,while in the skewness we measure whether the variable is positively or negatively skewed,in coskewness we find the relative skewness that is whether the variable is positively or negatively skewed with respect to...

Hi Gargi, Yes i got it from the spreadsheet. You can refer to the spreadsheet of the course.This i useed because i was not getting the exact answer however i think that you have got the idea atleast ho i got the answer. Thanks

Hi, Price(0.5)=101+12.75/32=101.3984375 df(.5)=101.3984375/103.9375=0.97557125676488274203247143716176=.97557 Price(1 year)=108+31.5/32=108.984375=df(.5)*7.125+df(1)*107.125 = 0.97557*7.125+df(1)*107.125 108.984375=6.95093625+df(1)*107.125 =>df=(108.984375-6.95093625)/107.125 = 0.95247=0.9525 thanks

Hi, please see: https://forum.bionicturtle.com/threads/calculation-on-bond-price.6136/#post-19317 thanks

Hi, As far as i can understand, The short position as per the agreement with the long should should deliver the Bond with a price of Quoted futures price(CTD)*CF+AI ,Quoted futures price(CTD) is the settlement price which is agreed upon in the contract.The short position should buy the bond to...

Hi, 1. Expected basis is not always expected to converge to 0,the asset to hedge might not have futures available so hedge with the futures of nearly correlated asset therefore this results in imperfect hedge that is the basis do not necessarily converge to 0 or that the basis is always present...

Hi, Var and PFE are different concepts while PFE is used to calculate the potential future exposure in the credit contract that is whats is the maximum exposure that the counterparty can have in a contract at a given confidence level whereas the Var deals with the maximum loss that a portfolio...

Hi, You can always pick up some relevant questions from the topic of study ,there can be some topics that you are uncomfortable with please look out for those topics and the associated practice questions,do them and leave the rest. For example if you have difficulty with chapter 4 of the Hull...

Hi, combined volatility of portfolio=square root of (W^2)(S^2)+ (W^2)(S^2)+2*pWSWS when correlation and/or covariance = 0,p=0=correlation therefore, combined volatility of portfolio=square root of (W^2)(S^2)+ (W^2)(S^2)+2*(0)WSWS combined volatility of portfolio=square root of (W^2)(S^2)+...

Hi, Yes high BML implies high Book to Market ratio which implies low Market to Book(low Price to Book),we know that the stock selling with low Price to Book must be bought or one should go long on them,while low BML implies high Market to Book(high Price to Book),we know that the stock selling...

Hi The coupon are fixed at 10% is the cash flow in terms of coupon that is paid from the Bond,the coupon rate is used to find the coupon that is being paid by the Bond that is it.Yield to maturity is very different from the coupon rate it captures both returns from the coupon pays and the price...

Hi Brian, 1)No the 2-year swap rate is not the same thing as a 2-year zero rate.The swap rate makes the present value of the future cash flows same as when the present value is calculated of future cash flows using the given zero rates.As the swap rate compounded semi-annually(yield is par...

Hi Yes the rates are also given are continuous they are not discrete.You can also first convert the continuous rates to discrete so that 1 year rate(discrete)=e^(3%)-1=3.04545%,2 year rate(discrete)=e^(4%)-1=4.081% Apply the formula for forward rate to get the forward...

FOr all values: period(t) Formula 0.5 EXP(-12%*.5) =0.942 1 EXP(-12%*1) =0.887 1.5 EXP(-12%*1.5)= 0.835 2 EXP(-12%*2) =0.787 2.5 EXP(-12%*2.5) =0.741 3 EXP(-12%*3) =0.698 thanks

Hi please see https://forum.bionicturtle.com/threads/forward-rate-calculation.8419/#post-34269 Rf is forward rate and spot rates for t=T1 is R1 and R2 for time period t= T2 where R1 and R2 are rates compounded m times(T2>T1). Then forward rate Rf(T1,T2) is the rate between time period T1 and T2...

Thanks jairam,Yes i have corrected the values. The transactions costs must be such that all the payoff is such that we earn riskless profit on the investment on these box strategy. thanks

Yes jairam. Lets consider these: all options have 1 month to maturity with the same underlying with the current price of underlying of 50.16. The prices of (these are the traded prices and options i have picked up from the internet) Buy 1 ITM Call: X=45,price=5.15 Sell 1 OTM...

Hi, Infact you can derive all the other performance measures from the Sharpe measure that is Sharpe can be viewed as building block for other measures. Sharpe=(E(Rp)-Rf)/σ is for the appraisal of a non diversified portfolio where σ the volatility of the portfolio=sqrt(systematic risk +non...

thanks