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Hi David and Suzanne, I would like to thank you for creating the most sincere and rigorous FRM study material which helped me to clear both groups in Nov 2012 exam. Without your help, it couldn't have been possible. I wish you guys all the best for the future. Thanks!

Hi David, I am not able to map the formula used to convert the treasury bill, P Strips to zero rate. Majorly I'm talking about 203.1 & 203.2. Based on the answer provided, are these formula listed under study notes pdf? Sorry but I couldn't map it.. appreciate your help here to prepare for...

Thanks a lot David for explaining the concept in most immaculate way.

Hi David, I am referring to your video - 2012.P1.-Focus-Review-4 where you have framed a question in regard to Forward rates and supposed to calculate 2yr forward rates starting in 3 yr. Could you pls remind me of the formula you used for the answer. I was relating to the discrete and...

Hi David, Pls elaborate more on the answer provided to below question.To my understanding, we should have selected the answer c), since it exceeds the value (5) for 99% confidence. Text highlighted in red is not clear. 207.1. A bank's VaR, calibrated with 99% confidence and a one-day...

Thanks Basu,David. It was very useful.

Hi David, Could you pls help me understand why we add the tranche A interest ($1.5 million) to the principal amt since this cash was being paid to the investor. Do we add fund outflow to the principal outstanding when asked to calculate total cash flow? listed the question with answer below...

Hi David, Isn't "Bull Spread with Put" will look like "Bear spread with Put"? In the study note - we have talked about bull spread in reference to call but one of the practice questions I encountered bull spread with put and we said in the answer explanation section - it's a bullish outlook. I...

thanks Aleks, David.

Hi David, Could you pls clarify my doubt stated below - When we did the hypothesis test in VAR chapter and calculated the t-statistic value, we always use to compare it with critical/look up value based on confidence level to make a call whether to reject or accept the hypothesis. So we were...

Many Thanks David, that was very useful.

Sorry Hansen, but the explanation you provided was not very clear to me. I would like to understand the context with a very simple example of 2 bonds.

Hi David, Could you pls elaborate on the definition for law of price which says - "two securities with exactly the same cash flows should sell for the same price". Do we mean by cash flow -> the coupon payment for bond A & B should be same if payment made semi annually (for e.g) to be...

In few other examples in the same practical sheet, I see the formula different - pasting for your reference. Not sure what's the difference between the two. thanks 159.2. The price of a $100 par zero-coupon bond with four (4) years to maturity is $88.00. The price of a $100 par zero-coupon bond...

Hi David, I see in one of the practical question, you have converted -> If the price of a zero-coupon six-month Treasury bill is $98.00 then six month zero rate (continuous) will be - The six-month zero rate = LN(100/98)*2 = 4.0405%. Could you pls highlight more on the formula. Where can I...

Hi David, Could you pls clarify on the below calculation listed in the doc (2011-T3.Hull-Chapter5&6) - 173.1. The 300-day LIBOR zero rate is 3.0% per annum with ACT/365 continuous compounding. The Eurodollar futures quote for a contract maturing in 300 days is 96.00; as usual, the Eurodollar...

Thank You.

Many Thanks David.

Hi David, isn't the answer should be B because FV=100,N=20,1/Y=6/2,PMT=3.25, it gives us PV = 103.71 Conversion factor = 103.71/100 = 1.03 Here's the question from Hull 2011 Chapter 5&6. 171.3. The following four bonds can be delivered by the party with the short position in a U.S. Treasury...

Hi David, shouldn't the answer be a) 168.5. If French money market instrument pays in Euros with an interest rate of 5.0% per annum with (discrete) annual compounding and under an actual/360 day count (ACT/360) convention, what is the equivalent rate under continuous compounding under an...