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If you are interested, I generated the above scenarios in R (#rstats) with actual/simulated datasets. If you would like to learn more about data science, see the code at the following links: Question 20.24.2 (Box-Pierce): This question loads tbe 'gdp' dataset from the 'astsa' package (see...

Hi @nc27 Well those notes refer to the preference of the short position who seeks the cheapest to deliver (CTD) bond in a T-bond futures contract. I'm not keen on "we expect the yield ..." because, at least in this context (if not in general), yield is a current variable or observation implied...

If you are interested, the code and the plots for this questions set were generated in R (#rstats). To render attractive plots, I used ggplot which is part of the amazing tidyverse (https://www.tidyverse.org/). The forecast package (https://github.com/robjhyndman/forecast) by Rob Hyndman enables...

Hi @dtammerz In this context, a vector is a list of numbers; a matrix has rows and columns, but we can refer to a single row or a single column of the matrix as a vector and this vector is just a set of numbers. It's a good question in this context because it speaks to the essential difference...

Hi @winveeraphan I'm not sure exactly what you mean ... as I illustrated above (in the embedded quote), given that surplus at risk (SaR) can be "absolute" (ie, relative to the the initial surplus) or "relative" (ie, relative to the expected future surplus) or even relative to zero surplus (aka...

Hi @nc27 I don't like it, I hope that's not the actual wording. We can immediately eliminate covered call (income strategy) and the bearish bet (bear spread). It appears to me that the question is looking for protective put because that is the only strategy that has an uncapped profit/payoff...

@dtammerz forward rates chain to the spot rate; e.g., if f(1) = 1.0% and f(1,2) = 3.0%, then z(2) = sqrt(1.01*1.03) - 1 ~= 2.0%, such that to discount the 2-year annual coupon we can multiply the coupon by 1/1.02^2 = 1/(1.01*1.03). You are correct: just as the Law of One Price says each maturity...

Hi @Fjrodriguez You are correct, this question was revised three times (GARP's practice exams contain many errors). See post at https://forum.bionicturtle.com/threads/garp-p2-question-24.21932/post-71742; i.e., Notice the question does NOT ask for surplus at risk (SaR); SaR is a VaR, VaR is...

HI @Erik Yes, you are absolutely correct, that is a typo. Thank you!

Refers to https://forum.bionicturtle.com/threads/p1-t3-706-hedge-funds-hull.10292/ (... cc @Nicole Seaman I moved this here because @Apara has asked this same question repeatedly and we don't need it attached in multiple threads. I can draft a generic response that applies to this query in most...

I can't find the question to which this refers (cc @Nicole Seaman ). It sounds like one of mine but not certain ....

Thanks @Nicole Seaman @zer0 Such a search will produce this recent thread where we showed the derivation of UL https://forum.bionicturtle.com/threads/p1-t4-506-expected-loss-unexpected-loss-and-risk-contribution-schroeck.8534/post-83181 (hat tip to @MarekH ) i.e.,

Hi @sidjani94 I wish I could answer you but we are bound (like other EPPs) to an non disclosure agreement (NDA) with GARP. At some point this December (hopefully early December) we will be able do disclose particulars. Thank you,

Hi @tuncutku I already wrote new PQs for each of the entire Liquidity and Treasury Risk topic (P2.T8). We won't be writing a topic review on this P2.T8 until early next year. Thanks,

If you are interested, the code and the plot (generated in the tidyverse's ggplot) for question 20.22.2 above were generated in R (#rstats). If you would like to learn more about data science, see the following links: On my blog at...

Hi @ps_ricky_son Thank you for your understanding (ie, that we have to prioritize given GARP's syllabus churn)!

If you are interested, I generated these plots in R (#rstats) with simulated datasets. If you would like to learn more about data science, see the following links: Question 20.21.2 (autocorrelation function, ACF). You'll notice that generating an ACF plot is super easy. In fact, acf() is...

Hi @nicholasjalonso GARP's practice exams, um, they aren't always the best. In the practice exam, GARP is explicitly providing (u) and (d) which is available as an approach but the better (more sophisticated) approach is to match volatility with (u) and (d) as even GARP's new materials state...

HI @ktrathen We use invertible functions a lot in the FRM, in particular the CDF probability function N(z) = p which "inverts" such that z = N^1(p). In the AR/MA time series context, invertability enables the translation of an MA(1) into an infinite AR(∞) series and similarly an AR(1) into an...

Hi @thanhtam92 Yes re: Base/Quote but I think you meant 1.40 EURUSD refers to 1.40 USD = 1.0 EUR because the convention is base/quote so EUR = base and USD = quote currency. The base is first in the pair, the quote is last. On using this in the IRP, here is my intuition...