Hull Interest Rate - P1.T3-GlobalTopicDrill

[atandon]

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 such kind of questions in the exam.

Thanks

 

[David Harper CFA FRM]

Hi atandon,

That's absolutely true, they may not map directly to any current assignment, to my knowledge. The Global Focus Review does not try to source from readings AIMs; rather, it tries to develop questions that might appear on the exam due because they have been historically popular and/or might be indirectly justified (i.e., the FRM does not necessarily only ask questions linked to AIMs).

• Question 203.1 has just appeared on prior exams, and is found in the FRM handbook, it can be justified b/c it employs Hull and/or Tuckman concepts although no reading has the exact formula. See my note on this here http://forum.bionicturtle.com/threads/shortcut-to-forward-rates-if-you-have-bond-prices.4927/
• Question 203.2 combines two concepts: compound freq conversion, and implied forward rate (highly testable!). Thanks,