Search results

Hi David, My understanding about this question is limited & wud like your kind of explanation to make basis more strong. Thanks Rahul

Your firm is holding a short position in an Argentinean bond with a notional value of ARS 5,000,000 and a coupon yield of 5.5%. Your model predicts the bond’s yield will decrease over the coming year. You are asked to hedge the position. Your recommendation is to: Choose one answer. a...

Hi David, I manage to found somehow the solution for the same... This is a Gr8 Question to practice for FRM - I see three concept mixed up in this question A. Convexity Adjustment B. Day count convention for Eurodollar & LIBOR C. Compounding Methods But need to make it more clearer need...

Hi David, Thanks for your help, though have a question why you discounter Strorage cost again. forward = (9 + 0.1756 lump sum storage PV) * EXP(10%*9/12) = 9.89 It has already been discounted, why we need to discount it twice... Thanks Rahul

Hi David, This is simply outstanding Example... Always like your way of making things easier to understand... You mean to say the bonds with low yield will be trading rich compare to bonds with higher yield & if we take return in terms of PV of cash flow by bond price. The return will be...

Hi David, Could you please explain how the present value of storage cost will be computed in the below. The current price of silver is $9 per ounce. The storage costs are $0.24 per ounce per year payable quarterly in advance. Assuming that interest rates are 10% per annum for all maturities...

I have a question, :-/ Why in the floating we are just having one cash flow 104.8M compare to fixed where we have 2 cash flow 6m + 106M discounted at PV. Would appreciate if you can provide your feedback Thanks Rahul

Hi.. I am not sure but let me try this one.. "According to my understanding a lower yield will discount the future cashflows to a lesser extent thus decaying it to a lesser extent thus reducing duration as the payback would be faster". decaying it to a lesser extent thus (not...

Hi David, I got another Problem on IRS ? I think this is tricky one to solve. Always appreciate for your quick respond. A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, six month LIBOR is exchanged for 12% per annum (compounded semi-annually)...

Hi David, Thanks a lot for the detail XLS, you are always damn quick..... yeah this looks astray to me but better to prepare ourselves... I have a doubt in the formula you used for d1 The book formula is d1 = ln(So/K)+(r+Variance/2)t / Vol*sqrt(t) However you didn't use r in XLS, but...

Hi David, Please help on the below What is the delta of a short position in 1000 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 per ounce, the...

Hi David, I am back.... Could you please help me on the below FRM Question. The three-month Eurodollar futures price for a contract maturing in six years is quoted as 95.20. The standard deviation of the change in the short-term interest rate in one year is 1.1%. Estimate the forward LIBOR...

Hi David, I think we are just missing the below statement "Assuming enforceability of the margin agreement" "Assuming enforceability of the margin agreement, which of the following is the closest number to the 95% one-year credit risk of this deal governed under the margining agreement?"...

:-) David, you are a Legend. You explained it so well & clear my all concepts pertaining to Beta & Incremental VaR. Thanks a lot for solving that out. Thanks Rahul

Hi David, That was the toughest one to understand, but you made it so clear & easy thru detail explanation. There is another way which was still not clear to me. ($5.20 = Portfolio VaR)/($20 Portfolio)*(1.6 = Beta) = 0.4161. Beta part is explained by you, which is now resolved...

Hi David, David you are very clear in explaining the Beta of 1.6, but there are few more doubts to be unleash. Thanks for that speedy respond, however i want to understand couple on things which looks to be hidded in your explanation. Would appreciate veery much if can throw some light...

Hi David, That very well explained. Thanks a lot for you continous effort to resolve our queries in just fraction of minutes. Thanks for helping us out. Rahul

Hi david, That's contradicting statement. Keeping exam point of view what should we choose as a right opton. Is it B the right answer or we should select D. Thanks Rahul

Hi David, Could you please justify on how to calculate Incremental VaR using Beta. A $20 million portfolio consists of only two equally-weighted and uncorrelated positions in Asset A & B. Asset A ($10 million) has a volatility of 10% and Asset B (also @10 million) has a volatility of 20%...