Thanks David I think I am understanding this better. To confirm there are 2 pairs trade that is happening here. Related to the index while the buyer of the variance swap is paying fixed on the variance of the index determined at the start of the transaction he is also receiving the realised...
hi, please explain related to
Paying fixed in a variance swap on an index and receiving fixed on individual
what does the following statement mean:
If correlation increases, so will the variance. As a consequence, the present value for the variance swap buyer, the
fixed variance swap payer...
Hi David, I need help for swaps chapter 7 hull, to understand comparative advantage. the study notes, page 104 sys that BBB corp will pay AAA 4.350 and I cannot understand how this number is getting derived. can you please explain. I have understood the difference of differences concept but now...
hi David, thanks for the explanation and I do understand the reason why hull is using ois rather than libor. your two sentences in bold one in black "This 5% swap rate means that a bond with a principal of $100 and a semiannual coupon of 5% per annum sells for par." and the one in red "Suppose...
Hi David,
while going through the video and slides, I had a question the LOS regarding explain "Explain how the discount rates in a plain vanilla interest rate swap are computed.". in the two examples, 9th and 10th edition, why does the first boot strap of the libor spot rate compute to a final...
Hi Nicole, I had a query on the question posted above, would these questions be included in the quiz set for the related topic in the study planner, or do I need to keep a track of all these daily questions separately for practice. It would be great if you can help guide the best way to navigate...
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