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Hi @Maxim Rastorguev Yes, yours is a perfectly acceptable volatility calculation! As you suggest, there are a few methodological choices: Your returns are arithmetic (which have the advantage of being additive across the portfolio). The returns could also be given by ln(spot_n/spot_n-1) which...

Hi @evelyn.peng That's a good point, that XLS apparently has not been updated to match the Study Notes. I've tasked myself to do that, but I can't do it immediately. I will do it ASAP and notify you here after I have updated the XLS. Thanks, (in the meantime for Evelyn: working XLS to go here: tbd)

Hi @valenski I'm not really certain/up-to-date about perpetual bonds vis-a-vis AT1; my naive interpretation is that they would generally qualify, see criteria (55.) for inclusion on page 15-16 in bcbs189 here at https://www.bis.org/publ/bcbs189.htm ie., (emphasis mine) CoCo bonds are in the...

Hi @JamesVU2000 Thank you. Just so we understand exactly, is this is criticism of (i) the forum here where we are now; (ii) the practice questions, (iii) the study notes; (iv) the study planner; and/or (v) some combination of the above? Thanks! (cc @Nicole Seaman )

HI @akrushn2 Thank you for your purchase! (I can tell because your forum avatar, just above, has "Subscriber" in green below; unpaid forum members do not have this). You just go to https://learn.bionicturtle.com/frm-study-planner/ I think, yes, that @Nicole Seaman will do that for you .... when...

@Nicole Seaman Yes understood (sorry if i spoke out of turn). I think you know how I feel about our pass rate: I am not attached to publishing it because it encourages the wrong signal. (I would be okay with dropping it, in the next major site revision) The two most important determinants in...

I think on the last EPP call Lisa said GARP will be adding per-EPP pass rate reporting capability (basically, EPPs can request pass rates for their self-reporting customers), unless I misunderstood @Nicole Seaman ?

Hi @akrushn2 no, basic package is the smallest package (@Nicole Seaman i can't find the FAQ that I imagine we have on this frequently asked question? thanks ....)

HI @Pradyuman I don't think we supposed to render an opinion but I must say: of course, yes of course your experience will qualify! Your experience is very directly with multiple areas of risk, it is not even a difficult question! :)

Thanks @Hung Pham Admittedly I maybe over-thought it and over-analyzed it. Perhaps the simplest explanation is the best; i.e.,

We just received the official pass rates for the May 2019 exam, so I have updated our chart (see below). The obvious observations include: The P1 pass rate did not sustain the November peak but instead fell to 41.8% which is well below its long-term average The P2 pass rate jumped (again) to...

Hi @Flashback The balance is about $600K (equities portfolio) and my target return is +20.0%, so excluding contributions, my plan is to achieve the $1.0 million goal in three years.

Hi @Bukhalid The link previously went to my Amazon review attached to MAR Vol I here at https://amzn.to/2XlQ9v7 but I cannot find my review there any longer, for some reason !? :eek: My review was about ten years ago, shortly after the book was published, and my review was detailed and glowing...

Hi @ankit4685 Hull could also have substituted into the first (h), but he didn't need to, as he only substitutes into the second to neutralize the exponent and simplify. FWIW, this is intermediate/advanced and not essential for the exam. Hull uses cost of carry to replace Ft as function of St...

Hi @ankit4685 But the 2.9% is per annum, it is not itself a six-month rate. This is a point that I am constantly making in my videos: interest rate inputs are given in per annum (aka, annualized) terms unless explicitly specified (but there are almost no exceptions really). This is true...

HI @valenski The XLS is illustrating a commodity forward term structure (i.e., set of forward prices) over time; there is nothing really automatic about any of it, there is no necessary curve. It can start in flat/contango/backwardation and shift to something else. The only automatic dynamic we...

Hi @valenski The first sheet ("baseline") contains the baseline assumption of an unchanged (forward) term structure which unrealistically means that as we go forward in time, the term structure does not change: The initial term structure, as of March, is a contango where S(0) = $3.60, F(+ 1...

@bbttdxmz This question (within its self-contained assumptions) does not offer an arbitrage: the solution is an updated, so-called theoretical value. An arbitrage opportunity would arise (eg) if the observed (aka, traded) value of the futures contract differed from the theoretical price...

@bbttdxmz because the dividend is not part of the long forward contract holder's experience. The long forward position knows (s)he must pay the delivery price, K, in exchange for receiving a commodity with an updated forward price, F0, and this is the expected deal in six months; so (F0 - K) =...

@bbttdxmz Because the 1015 is fixed strike price and is being discounted to the PV with the riskfree rate, while the 1050 is a spot price which is effectively compounded forward then discounted back (the discounted expected value of a stock price is its current price!). Put more simply, 1015 is...