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Hello David and Suzanne, With notes still being published, what is the best way to study ? Should I keep going through the study planner and loop back every so often to see if a set of notes was added to a section I already finished with ? Edit: I should add, I can appreciate the challenge you...

Hi David, Thanks for all your help leading up to the exam. I came across this scenario and was not sure how to solve it: What is the 99% 1 day VaR for the portfolio: long 200,000 USD 1 day volatility 15% short 200,000 USD 1 day volatility 25% Being long and short the same notional thew me...

Hello, If a question doesn't state which currency is domestic, is it safe to assume USD is domestic or should we assume the rate on the left of the quote is domestic ?

Ah now it makes sense. (I also like the use of == and !=, a fellow code monkey I take it ?)

I am probably missing something obvious here, but I can't see it. My notes say t statistic is calculated as (xbar - mu)/[s/sqrt(n)] .. but when doing hypothesis tests for linear regression for the significance of an intercept I've seen it calculated as intercept/standard error. This may be a...

Thanks.

So we use percentage delta when calculating var using delta normal VaR and position delta when hedging ?

Hi David, I have a follow up question. In you answer you said delta for the linear portfolio is actually 1, but when creating a delta neutral portfolio we would for example short 20 stocks to bring delta down by 20 ?

Thanks for clearing that up. The notes I have from university gave a different approach which is the method I stated above.

That helps a lot thanks

Hello, I came across a practice question (not from BT) for which I can't make sense of the answer and am hoping somebody can shed some light on: Question: A portfolio has a current market value equal to $5,334,500 with a daily variance of .0002. Over the years the portfolio has increased its...

Can you shed some light on when it is correct to use continuous compounding for bonds ? I was under the impression that you use continuous compounding if you are given a series of spot rates for different maturities ... is this correct ? As always, thank you very much in advance for all the...

Thanks for the replies !

I was asking about a shortcut as this can be rather time consuming on the test.

Thank you very much !

*correction; I meant used in the Sortino ratio not IR

Thanks David. I think I get it; because of the price to par behaviour of the FRN on the reset date, the FRN is valued at par and before the next reset it is valued at par + the next CF ?

Thanks very much David, it makes sense when I see it in black and white. Another question though. In your Youtube video on the topic you (using the method where you value the swap as 2 bonds) valued the floating rate bond as the PV of the notionl and the first CF ... why include the first CF...

Hi all, Is there some shortcut to calculating semi-variance (mean squared deviation / used in information ratio) ?

Thanks all very much for your replies. I'll review them and reply if I still am unclear.