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Same here,....I used the last days data.....strange why we didn't get the answer,....the question really came across as being fairly straightforward.

Believe that the question asked something like what is the implied "smoothing parameter" based on the data (returns and volatility) for around 4 or 5 days......plugging the last days return and volatility numbers into the standard EWMA formula gave me a lambda of 100 % which cannot be the right...

Did not see the need of calculating an updated variance. Omega ( Long run average variance rate * Gamma) was provided Gamma as you pointed out was calculated using the 1-Alpha-Beta logic The Long Run Average Variance Rate would then be-> Omega / Gamma Take a square root of the long run variance...

Selected normal,.... -> normal market and contango have the same meaning. So does inverted market and backwardation. Append - Please ignore my earlier note w.r.t,...normal / contango & inverted / backwardation meaning the same. Normal / Inverted are terms use to describe a futures price curve...

Its in GARP's Quantitative Analysis text book.

I just checked the "Estimating Volatilities and Correlations" chapter. Under the "Using GARCH(1,1) to forecast future volatility" section there are graphs of the expected path for the variance rate when current variance is above & below long term variance rate,.....none of them show an...

I think that this is the option where the spot rate curve shows a decline + the forward rate curve showing an even more "clean" & steep decline roughly around the time the spot rate starts declining,....there was another one which could have just made the mark (think it was option B),..but I...

What is the effective swap start and end date assumptions please in this example ??

The long run average volatility rate was lower than the current volatility estimate,.....I thereby landed up going for the graph which showed a gradual downward sloping line (based on the mean reversion property).

Okay,....so I definitely have got this one wrong as I did not pay attention to the payment frequency of the fixed side......I assumed that it was quarterly as well like the floating rate side and landed up selecting the highest option. Considering that the floating leg was quarterly and fixed...

Couldn't agree more :)

I didn't resort to any conversion either & just used the direct formula,....nonetheless, some of our forum members seemed to have identified an issue with the manner in which the rates were quoted which gets me really worried. Surely did get a match using the direct formulae,.....but in...

There are 2 parts to this - I completely agree with the Investopedia quote that the fiduciary powers are conferred to the trustee by the issuer. However,....the trustee acts in a fiduciary capacity for the bond holders or the investors,.....i.e., if there is a default on any of the bond...

Same here,...rejected the fiduciary answer & went for the balance sheet.

Hello, From what I recollect,...this fiduciary capacity point made mention of the trustee performing a fiduciary role on behalf of the "bond issuer" and this is incorrect. The trustee acts in a fiduciary capacity on behalf of the bond holder. There were 2 other options,...one around the trustee...

I could be wrong here but I think I saw 2 options 1 with a mean of 100 +/- (2 * Sigma) and the second with a mean of 100*1.086 +/- (2* Sigma) Gosh,....I am now getting a feeling that my memory may no longer be reliable :)

Are you absolutely certain that you didn't get the answer ??.....I remember doing this problem in the exact same manner and getting a match with one of the options ......the calculation above should give 2.7 and not 2.75

Didn't see any issue with the crack spread.....what Alex had explained on the forum was a 3-2-1 crack spread.What was provided was a 7-4-3 -> that would mean -> Buy 7 barrels of A ( cost) + Sell 4 barrels of B (income) + Sell 3 barrels of C (income). One additional step needed -> the pnl would...

Hello, Had a similar experience with losing sleep,....a real nightmare especially when you need to take a shot at a 4 hour exam. Managed to work through close to 90 odd questions,.....and from a time management standpoint, this was better than any of my other mocks......,the 10 that were...