Search results

Hi @Jose V Here you go https://www.dropbox.com/s/td3xzm6oih885dy/021920-sf-implies-parallel-shift.xlsx?dl=0 ... it is (will be) a page in the revised Tuckman Learning spreadsheet that I expect to publish in coming weeks.

Hi @Jash we need to better label their purpose, please see above (https://forum.bionicturtle.com/threads/appendix-sections-optional.23078/post-80856) Thanks,

Hi @Branislav Did i say that, I must have said that somewhere? ;) Well, our baseline but unrealistic theory of the term structure is pure expectations. Pure expectations says that forward rates predict future spot rates without any other factors. So if the current, say, six month spot (interest)...

Hi @txiong You know what, I think I miscalculated those mappings (and I didn't notice because my result is so near to Jorion's that I assumed rounding). As Jorion explains in 11.3, the mapping follows the valuation of the forward contract: f = S*exp(-yt) - K*(exp-rT); except he discounts...

@thanhtam92 please don't ask this right now, Nicole is working hard on quizzes/mocks literally this week, but it's harder when she's constantly responding to updates. I don't want any current status update questions. We're happy to host an open, transparent forum but when it just becomes a...

Hi @Jose V sorry that sheet requires macros (extension .xlsm), here is Meissner's macro-enabled version: https://www.dropbox.com/s/9ys7cszj3nxsqzu/Meissner-Ch4-2-asset_default_time_Copula.xlsm?dl=0 this should work, thanks

to clarify @txiong that's the former: it's just a placeholder that will contain key summary points, to be added a next revision (it does not mean your second bullet)

Hi @Serdar7891 I agree, I don't see it either but we did finish the edit, so I think it's just not appearing in the Study Planner. I've pinged @Nicole Seaman and we will get this fixed so it appears in the SP. Thank you for the heads up!

Hi @wojtek Yes, I agree with "Short 6x12 FRA= short 6M bill + long 12M bill" as it is the mirror image to Jorion's "Long 6×12 FRA = long 6-month bill + short 12-month bill". Below is a copy of his Table 11-9. My interpretation is that this maps a Short 6x12 FRA because there is a negative PV of...

@wojtek See Jorion's explanation below. if we are long (purchase) the 6-month bill, the purchase is treated a cash outflow; if we sell (short) the 12-month bill, we receive cash and it's treated as an inflow. I think the important thing for mapping is they are different: i don't think it matters...

Hi @pbhalava Yes, the use of L/P versus P/L should not change the VaR. In the pasted example above, the 95.0% 10-day absolute VaR = [-9.0%*(10/250) + 20.0%*sqrt(10/250)*1.645] * $100.00 = $6.22 regardless of L/P or P/L; in P/L, µ = 9.0% and in L/P, µ = -9.0% is the only input difference. But as...

Hi @Lenka2019 In this bootstrap HS, we have a historical window of indexed returns, see below; e.g., the day 3 returns were actually AAPL = -1.2%, AMAT = -1.4%, HPQ = -0.6%. So we have an indexed, actual returns; day 20 was AAPL = 0.5%, AMAT = 2.9%, HPQ = -0.1%. Then the simulation simply needs...

I agree @Nicole Seaman From my perspective there is a set of qualitative (aka, conceptual) verbs like "describe", "explain" and even "define" which are, from a practical perspective, more or less similar and do not suggest calculations (or maybe I should say, do not necessarily suggest...

@Nicole Seaman Here is potential text we could use to preface the Appendix (this might be too long, but explains why our relegated Appendix PQs are optional but not time-wasting):

@DShim27 I just meant any Appendix (by definition of our relegating to such) is optional ... we used to label this carefully and will so indicate on revision

Thanks, if it's not there, we'll edit to make sure and emphasize the optionality of any appendix ...

Hi @DShim27 No, doesn't it have a label? (@Nicole Seaman we should check the labeling, I thought our Appendices usually have a red warning label, so to speak, to the effect that "the following are not necessary") Appendices are included as extra, optional practice and, by definition, tend to be...

Hi @simidani11 It means what it says, I wanted to get this version out and I'll plug the gaps as soon as possible (with a revised version). Where I left gaps, they do tend to be low priority. Yes, my intention for the Malz is to revise it again before May. But somebody on this forum is always...

Hi @wooju7533 Admittedly, the time series in FRM lacks much "scaffolding" and will need improvement (many details that are likely not much testable) There are many resources for finding the roots of a polynomial. See https://brilliant.org/wiki/polynomial-roots/ or...

Hi @Shah59611 Did you view the video? Effective duration is given by, D = -1/P * [P(+∆y) - P(-∆y)]/(2*∆y) and this formula does not itself require a duration assumption (it only requires that we can re-price the bond as a function of a different yield). Rather, we are simply re-pricing the bond...