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Hi @Elizabeth_Babalola Yes, indeed that is a typo. Apologies. Thank you for spotting this and identify the correction so helpfully. :) Tagged for correction

HI @RajivBoolell Not stupid, thought provoking! It is true that the randomization is random discrete uniform variable; e.g., if there is a history of 21 daily returns, then the probability of selecting a specific historical day is 1/21. But this reflects our want to conduct a genuinely random...

@The Intrepid Thanks you. Maybe I should apologize, maybe the question is fine. I am sorry to be irritated: It was a Sunday (yesterday) and I was working all weekend on the last Tuckman T4 Tuckman (VRM 13) study note, and I resented interrupting that work to basically be a proxy for GARP...

Sure thing @Amns233 re updates, please see https://forum.bionicturtle.com/threads/2020-part-2-new-and-updated-published-materials.23057/ (Var mapping has been updated; we might have removed those EOC questions)

@jimmykaw You're kidding right :rolleyes:; we spent considerable time and effort on that chapter. Yes, Chapter 4 is updated. The LOs match, don't they? Here is the very first Learning Objective (LO) given by GARP at the start of the reading (and in the study guide/syllabus): "Compare different...

Hi @Elizabeth_Babalola yes, thank you, I agree: not only more accurate, i think it's a necessary fix as the second term is currently wrong! Thank you,

Hi @Amns233 The initial hedge is a short position in the futures contract with F(0) = $1.4703. So initially, the exporter's exposure is a plan to receive 1.0 pounds in +3 months at the then-prevailing spot FX rate, hedged by the short position. When the hedge is lifted: The 1.0 million pounds...

Hi @DRoche I can help with that, when we update the formula sheet, but I want to first finish the outstanding study notes. There are always some customers who prioritize completeness of the materials, and I don't want to start the summary-type workflow revisions until we (me and our writer) have...

Hi @nag_san thank you! The first sentence of the section (Maturity Effects) reads "What happens to the price of a bond if the term structure remains unchanged over a six-month period?" so that assumption is there, but I will tell you that I could not follow the rest of the new text, on its own...

Hi @nag_san This is GARP's new re-write of Tuckman's Chapter 2 (Maturity and Price or Present Value) and is trying to explain the first part of this LO ("Assess the impact of maturity on the price of a bond and the returns generated by bonds"). Specifically, this refers to "Assess the impact of...

Hi @danielyyq and @chintanmatalia I agree that #2 is incorrect. This is a new 2020 reading, and I haven't entirely analyzed it, but i can see that it maybe lacks some consistent FRM-consisten vocabulary. Regardless, I think we can see how #2 must be a mistake. The author defines asset sensitive...

Hi @JorgeOrvananos glad @Sixcarbs could assist! I haven't look at the updated stuff. I'm in the same situation: I need to prioritize outstanding FRM customer support and content. I have still have considerable content updates in my stack (and unanswered customer questions) so it's not...

Thank you @Sixcarbs ! And @thanhtam92 I would add the following. Hull's setup question is copied below. As I often say, we want to assume all inputs in per annum term and we want to express outputs in per annum terms. Probably the most common discrete frequency (aka, periodicity) is semi-annual...

HI Yao (@lincoln40113 ) Regarding Part 1, I agree that GARP's new EOC questions apply to the LOs, but on the other hand, they are not exam-level practice questions. For the most part, they are too brief and easy. Fine for a first pass. But I would have preferred more rigorous questions that are...

Hi @thanhtam92 You don't necessarily need to translate between compound frequencies. Hull's problem 4.22 can be (easily) solved for the answer he seeks ($86.80) but you can't use the TVM worksheet (N, I/Y, PV, PMT, and PV) because they presume discrete periods. I was just responding to your...

Hi @nag_san Yes, it's because the lower bound of the (given) uniform distribution is -20.0, and VaR is the quantile associated with a (cumulative) probability such that we need to "start from the bottom" to include the entire left tail. In the uniform distribution, this exercise is essentially...

@JorgeOrvananos you are totally welcome, but we don't want to "force" you to buy (signup) for the FRM course unless you are sitting for the FRM exam. Our course is FRM exam prep. I am grateful that some folks occasionally ask for consulting work but i am not geared up to do consulting projects...

Hi @JorgeOrvananos I took a quick look (5 min), but I can't formulate the question properly (so I can't find a solution). It is interesting to ask, at which strike price is a straddle delta neutral? That occurs when call %delta is 0.5 because then put %delta will be -0.5, so that at some strike...

sorry @jimmykaw that we don't have ePub but i just wanted to mention that you can annotate PDFs, I do it all the time, I use https://www.foxitsoftware.com/

Hi @thanhtam92 Your prices assume annual compound frequency, so to use your approach we'd want to translate the 11.0% (with CC) into exp(11%)-1 = 11.628% per annum with annual compound frequency. Note that we can confirm: n = 5, i = 11.628%, PMT = 8, FV = 100 and → CPT 86.01. Then, if we use a...