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@Chibale I've no idea to what you refer (cc @Nicole Seaman i searched "DF" but can't figure out the reference ... )

HI @ChristofferLoov Okay sure, although at a certain point, my experience is that it's best to try and scrutinize the spreadsheet implementation of key rates if only because its hard to just describe in words the mechanics. But here is my perspective: Yes, almost correct (it's inaccurate to say...

Hi @Maxim Rastorguev I mispoke (I do apologize) when I said "spot rates" plural, when I should have said singular spot rate. The Realized Forward scenario reflects the "realization" of current forward when we move forward in time. In the example shown: On 5/30/10, for the bond that matures in...

Hi @pint0 I think it's a good question because I've definitely struggled with the non-mathematical interpretation of the unconditional PD. Despite not being currently assigned to the topic, I actual favor Hull's interpretation (emphasize mine): "We will refer to this as the unconditional default...

Hi @Mdeclercq Apologies for the confusing statement: I think that's a legacy statement from an FRM syllabus source that does need to be corrected (I have made a note, hence your placement here in Errors is appropriate). I haven't seen this paper, but I completely agree that the most accurate...

oh geez, time well spent :rolleyes:

@Nicole Seaman it appears that @eldakrory is referring to our major Hull XLS (R19) at https://learn.bionicturtle.com/topic/learning-spreadsheet-hull-chapters-1-2-3-4-5-6-7-10-and-11/ but (i) his appears to be a sample and (ii) our latest in the SP is "R19-P1-T3-Hull-v62-0"

@Nicole Seaman i'm not sure to which XLS this refers ...

Hi @akrushn2 If you held a well-diversified portfolio and hedged (almost) perfectly by shorting futures contracts on an index (eg, S&P 500) then it could lock in the "net profits." As mentioned in the other thread, a hedge is always two positions (underlying exposure + hedge), so in extremis...

Is this @ankit4685 but under a new account? asked because it almost seems like a continuation of today's earlier https://forum.bionicturtle.com/threads/p1-t3-710-long-and-short-hedges-hull-chapter-3.10547/post-76407 Classic situation is commodity producer (e.g., corn farmer) who plans to sell...

Hi @ankit4685 These are elsewhere explained multiple times in the forum, so we'd appreciate it you used the tags and/or searched to save time, but I'll give you a brief answer now since you're the only question today (Sunday): We need the definitions to evaluation 710.1.IV. As you say, a short...

Hi @Maxim Rastorguev Yes, your period (annual) returns are +15%, -15%, +15%, -15%, 0% such that the arithmetic return is given by (+15%, -15%, +15%, -15%, 0%)/5 = 0. This is meant to illustrate the same distinction explained in Hull's Business Snapshot 15.1 (see below). Just as you are...

Thank you @ami44 yes, of course! helpful ...

Hi @Maxim Rastorguev You are right, I've never noticed this before: it's true even when we use the volatility, σ, input; e.g., σ < 3.0% returns p > 1.0. The formulas are correct (obviously, as all of the examples match Hull!) ... I'm not immediately sure how to explain this ... will update...

@FreemanMI GARP already sent the certificate but tells you to wait "8 to 10 weeks," is that correct? Where on earth does a mailing take so long ... do you get an electronic copy in the meantime? I'm just disappointed to hear about all this long waiting around :(

@AK88 Yes, correct: topic-wise performance is merely informational as only the total score produces a pass/fail outcome. Therefore, you could bomb one topic and make up elsewhere. See, for example, here my previous illustration of a counter-intuitive outcome where hypothetical Student #1 earns...

Hi @aperrell but i just downloaded the XLS at https://learn.bionicturtle.com/topic/learning-spreadsheet-amenc-chapter-4-2/ and, see screenshot below, it containst 401.1, 404.2, and 404.3 including their referee in the TOC (?)

Hi @Jeff11frm The reading 19 is a huge document to which we are almost constantly improving, I'm not sure about this LO, but @Nicole Seaman can answer tomorrow when she returns (it is Memorial Day here in the US). Thank you ...

Hi @eldakrory I see what you mean, apologies .... cc @Nicole Seaman not sure why this video is chopped?

Hi @kausthub Really glad to hear the exam went well for you! :) Of course you are correct that the FRM syllabus assumes PD is a binomial. See below assigned Schroeck for his thoughts on this. Realistically, I think credit spreads are often used to estimate or proxy default probabilities. In...