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Hi Nicole, Just checked my inbox - have not received it as yet. Thanks:) Jayanthi

Hi Nicole, I did not receive the $15 Amazon gift card for August 31st. Could you please check and let me know if you sent it. I have received the $15 gift card for August 24th and the $45 gift card for August 11th (combined with January and February 2015). Thanks a tonne:) Jayanthi

Hi Deepak, Glad to be of help. z lookup tables are available for negative values of z i.e. if Z is a standard normal random variable, then cumulative probabilities P(Z < z) of the standard normal distributions are available. Please refer to Appendix 1 Pg 239 of GARP's Quantitative analysis...

Hi Brian, Your argument is analogous to the coupon rate = YTM on a fixed rate bond at the time of issuance. However, with time, while the coupon rate is fixed, the YTM being the market rate will change. Hence, we use the YTM for discounting. I am going to let David answer this! Thanks! Jayanthi

Hi Deepak, I don't know whether my answer is right or wrong. The area to the left of 2.0 (corresponding to (80 - 32)/24 = 2.0) is from the z- lookup table 1 - 0.9772 = 0.0228. The area to the right of 1.5 (corresponding to (116 - 80)/24 = 1.5) is 1 - 0.9332 = 0.0668. Hence the area of the...

Thanks Nicole - appreciate it:) Jayanthi

Hi Brian, In many countries such as Thailand, the Treasury yield curve is illiquid across maturities. On the other hand, the LIBOR/Swap Yield curve is liquid across maturities worldwide. The LIBOR swap zero curve is obtained by bootstrapping and is almost risk-free. That is why it is used to...

Thanks for saying that David - much appreciate it! Jayanthi

Got it - thanks David - much appreciate it! Jayanthi

Thanks David for the clear and lucid explanation. And for taking the time to work through this problem in detail. Much appreciate it! Jayanthi

Hi David, I seem to be stuck on Portfolio Insurance not able to move forward unless I understand it thoroughly. This is taking a lot of valuable time from Fixed Income which will be the next topic. Sorry about bombarding you with the same topic. As referenced above and cited below: Question...

Hi David, As referenced above and cited below: Problem 18.17 A fund manager has a well-diversified portfolio that mirrors the performance of the S&P 500 and is worth $360 million. The value of the S&P 500 is 1,200, and the portfolio manager would like to buy insurance against a reduction of...

Thanks David - that explains it - Much appreciated! Jayanthi

Hi Nicole, Just checked the terms and conditions of the gift card on the Amazon website. They have no expiration date. Thanks:) Jayanthi

Hi Nicole, Thanks a tonne! I would like to redeem the $15 Amazon gift card. BTW, how long do these gift cards last? Jayanthi

Hi David, As referenced above, problem 18.10 of Hull is: What is the delta of a short position in 1,000 European call options on silver futures? The options mature in eight months, and the futures contract underlying the option matures in nine months. The current nine-month futures price is $8...

Thanks! Jayanthi

Hi David, Page 93, problem 18.4 of Hull Chapter 19: The Greek Letters (Hull Text Q & A) is as follows: What does it mean to assert that the theta of an option position is -0.1 when time is measured in years? If a trader feels that neither a stock price nor its implied volatility will change...

Hi @arkabose There is a numerical example explaining the above in page 77-78 of the Forum discussion of the PQ set pertaining to theta. I thought it may be of help to you. Thanks! Jayanthi

Thanks, David for making the above clear - appreciate it! Jayanthi