@QuantMan2318 @David Harper CFA FRM
I am a bit rusty on Integrals and so have a follow up question
V(t) = V(L )+ e^ -Gamma*T [ V(0) - V(L) ]
So, I/T * Integral [ V(t) ] = 1/T * Integral { V(L )+ e^ -Gamma*T [ V(0) - V(L) ] }
Now, Integral { V(L )+ e^ -Gamma*T [ V(0) - V(L) ] } = Integral...
@QuantMan2318 @David Harper CFA FRM Have one more follow up question on this one..
So, the Variance for a future time period is given by :-
()=+−[()−] -------Equation 1
To find the estimate of implied volatility at time T we take the average of the above (Average volatility) which is the...
Thanks again so much @QuantMan2318 - Think I got it this time around
As Gamma is a small no, (Gamma)^2 and Higher Powers of Gamma and so on are negligible and can be approximated to 0.
So by the Taylor Series Expansion of Ln ( 1+ x) approximates to x with the higher powers of x being almost...
Thanks so much @QuantMan2318 - thought I almost understood this - and then hit this hurdle ...:confused::confused:
As you rightly pointed out: Given that Gamma = [ 1 - (Alpha + Beta ) ] , How is Gamma = LN [ 1 / (Alpha +Beta ) ] ...? :confused::confused::(
Hi,
In the Problem below, how and where did we get Alpha = LN( 1/.98 ) ...? which formula is this ...?
Also, in Part C of this problem, where did we get the part highlighted in yellow ... :confused::confused: ...?
Thanks all for any insights on this.
Question 10.21
Suppose that the...
Hi,
In Reference to HULLCH10_Question 10.5:
What is Simplified Approach Equation 10.4 the the solution is referring to here ..? :confused::confused:
Question 10.5: Suppose that observations on an exchange rate at the end of the past 11 days have been 0.7000, 0.7010, 0.7070, 0.6999, 0.6970...
Hi,
@David Harper CFA FRM had indicated in a thread that -" The general form of the F-statistic is F[numerator df, denominator df] = (ESS/df)/(RSS/df) "
F -Statistic is also expressed as = {Sum Of Squares BETWEEN / df-BETWEEN } / { Sum Of Squares WITHIN / df-WITHIN } => This expression of...
Hi,
For BODIE_CH10_EOC_QUESTION_9 :-
I need help understanding the solution a & b to this problem- Would be very grateful if someone could elaborate on both points 'a' & 'b' ..? :(:(
Thanks much for all the help.
Got it :):):cool::cool: Thanks so much @David Harper CFA FRM - I was missing the key insight that the floating rate is observed at the beginning of the (six-month, in this case) period, but paid at the end of the (six-month) period - that helped a lot :):)
Thanks @Nicole Seaman for the links above - I did check them out... I was trying to use the same techniques to calculate the Prices of the 2 Bonds for the Currency Swap Valuation- but the answer I am getting is way different than if worked out by hand somehow....and so I was trying to see if I...
Hi- I was revisiting this example and have a follow question-
For the Floating Rate Cash Flows, the Problem statement states that the 6-Month LIBOR at the Last Payment Date =10.2 %
" Last-Payment Date " with respect to which point in time..? Instead of T= .25/3 Months, Last Payment Date could...
I was revisiting this topic-Eg 2 of Currency Swap and had a follow up question -Please refer to the screenshot below:-
Below we are trying to find the Swap Value using the Bond Method -that is, treating the Domestic and Foreign Cash Flows as 2 Bonds as illustrated below.
However, in order to...
In Reference to FIN_PRODS_HULL_CH6_INTEREST-RATE-FUTURES-PRACTICE-QUESTION-6.27 :-
Why do we Short at Time =T and Go Long at Time = T* to lock in the forward rate for the span of time T to T* ..? Are we expecting a the value of the Canadian $ to fall at Time = T* and so we are selling the...
In Reference to FIN_PRODS_HULL_CH5_Determination_Of_Forward_and_Futures_Prices_Practice_Question_5.20 :-
I have the following Practice Questions Hull 5.20:-
It states that F0 = S0 * e^(r-q) *T
Should it not be Ft = S0 * e^(r-q) *T instead ..?
Because if F0 = St * e^(r-q) *T , then , the...
Hi,
In Reference to FIN_PRODS_HULL_CH5_Determination_Of_Forward_and_Futures_Prices_Practice_Question_5.23 :-
I have the following Practice Questions Hull 5.23:-
1) It states that Ft = St * e ^ (R- Rf ) (T-t)
Isn't Ft = S0 * e ^ (R- Rf ) (T-t) ......?
If we were to expressFt in terms of St...
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.