face-value

  1. Nicole Seaman

    P2.T5.22.15. Fixed income regression and principal component analysis (PCA)

    Learning objectives: Calculate the face value of multiple offsetting swap positions needed to carry out a two-variable regression hedge. Compare and contrast level and change regressions. Describe principal component analysis and explain how it is applied to constructing a hedging portfolio...
    • Nicole Seaman
    • Thread
    • change-regression face-value fixed-income-regression hedging level-regression offsetting-swap-position principal-component-analysis regression-hedge
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. David Harper CFA FRM

    P2.T5.22.14. Empirical approaches to fixed income hedging

    Learning objectives: Explain the drawbacks to using a DV01-neutral hedge for a bond position. Describe a regression hedge and explain how it can improve a standard DV01-neutral hedge. Calculate the regression hedge adjustment factor, beta. Calculate the face value of an offsetting position...
  3. M

    Per 100 FV question

    Hi A quick one. Concept around when they quote bonds or DV01 value as per 100 face value. I want to clarify understanding. So if quote DV01 as 6 per 100 FV then effectively if the bond value is 1000 then that's just 6*10. DV01. I think there must be question somewhere that has this wording...
  4. Nicole Seaman

    YouTube T3-10: Yield to Maturity Interpretations

    Superficially, the yield to maturity (YTM, aka yield) simply inverts the usual time value of money (TVM) inputs by solving for the yield as a function of four inputs: face (future) value, coupon (payment), maturity (time), and current price (present value). But in terms of interpretation, I...
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