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Exponential Distribution GARP vs. Wiki
..short update, both notations seem to be equivalent i.e. just substitute lambda = 1/beta- OHe1274
- Post #2
- Forum: P1.T2. Quantitative Methods (20%)
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Exponential Distribution GARP vs. Wiki
Hello I am a little bit confused with regards to the formulas for the exponential distribution incl: -moments -PDF / CDF -VaR / ES In GARP materials (book2, p. 39) the exponential is described with a mean of: E[Y] = b wheras wikipedia and also BT says: E[Y] = 1/lambda Same holds for other...- OHe1274
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- exponential-distribution
- Replies: 1
- Forum: P1.T2. Quantitative Methods (20%)
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P1.T3.23.8. Interest rate swap valuation
..with regards to 23.8.1. (the SOFR IRS).. I'm not able to find the solution in the referenced answer link, I only see an exercise with a SOFR currency swap. I think here is something mixed. I would be interested in the SOFR IRS solution. Thanks Oliver- OHe1274
- Post #2
- Forum: FRM® Practice Questions