bootstrap
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YouTube T1-6 What is bootstrap historical simulation?
The key idea of Boostrap HS is "sampling with replacement:" we randomly retrieve ACTUAL daily returns and use them to simulate forward. Here is David's XLS: http://trtl.bz/2yzTYPM- Nicole Seaman
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- bootstrap bootstrap-historical-simulation historical-simulation youtube
- Replies: 5
- Forum: P1.T1 Foundations of Risk
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P2.T5.710. Bootstrap historical simulation and non-parametric density estimation (Dowd, Ch.4)
Learning objectives: Apply the bootstrap historical simulation approach to estimate coherent risk measures. Describe historical simulation using non-parametric density estimation. Questions: 710.1. Betty is trying to decide between basic historical simulation (HS) and bootstrap historic...- Nicole Seaman
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- bootstrap coherent-risk-measures historical-simulation non-parametric-density-estimation
- Replies: 0
- Forum: FRM® Practice Questions
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P1.T3.722. Using the swap rate to bootstrap the forward rate and basic interest rate swap valuation
Learning objectives: Explain the mechanics of a plain vanilla interest rate swap and compute its cash flows ... Calculate the value of a plain vanilla interest rate swap based on two simultaneous bond positions. Calculate the value of a plain vanilla interest rate swap from a sequence of forward...- Nicole Seaman
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- basic-interest-rate-swap-valuation bootstrap forward-rates hull swap-rate
- Replies: 0
- Forum: FRM® Practice Questions
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Help [Bootstrapping]
I am so sorry to bother you but I really need help. Note: I am new to bonds, interest rates, forward rates .. etc. In many examples ( for instance in Hull's book) I see something like this: TTM Coupon Price 0.25 0 97.5 0.50 0 94.9 1.00 0...- laurel akin
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- bonds bootstrap bootstrapping forward-rates interest-rates
- Replies: 15
- Forum: Fixed Income (P1.T4 or P2.T5)