Search results

Hello all, I would like to ask Q13.17 from the textbook. How can I know KR01 for five-year key rate would need to use the figure 0.6, but not 0.4? Thanks a lot. Question: Suppose par yield KR01s are calculated using five- and ten-year shifts in par yields. A portfolio has an exposure of +20 to...

Hello, could someone help to explain Q16.20, why the answer uses the formula with dividend, instead of the one without dividend? I mean the part "e^-rT". Thank you so much.

Hi everyone, On p.5, from the heading "Forward price given by the Cost of Carry Model", I think the formula is related to forward. When I read the notes, it says "the cost-of-carry model sets the futures price as a function of the spot price", which I think it maybe related to future. I am not...