Preparation

[liordp]

Hi David
Your Summaries of the material explain very well the material for the exam but i cant Wondered is it Enough ?
Do you recommend further reading ( i know that garp Advertise reading list)
I read and solve question that you upload to the website but atill i feel that i am not ready
what else can i do ?
can you contact my privat Email

 

[David Harper CFA FRM]

Hi Convexity,

I typically do recommend the source readings, in addition to the other prep. I do understand the challenge: the FRM is arguably the most difficult financial certification available. Some/many will never feel like the prep is enough ... IMO, the best tactic is to supplement with many practice questions...

And along these lines, this is why it is important to (i) schedule your exam sufficiently into the future to allow plenty of study time and (ii) the most successful candidates start their prep early and apply study according to a consistent, regular schedule

In regard to contacting you privately, I am sorry but I don't have the time (I am working 12 hrs+/day, 7 days/week to produce content for the May FRM schedule)

Thanks, David

 

[liordp]

David Thanks,

I also wanted to ask you 2 more question:

1. just to Clarify dollar duration and DV01 is the same right ? the change in dollar terms for 1 bp change

2. page 75 in valuation

1000 par bond
4% semiannual coupon
10 year to maturity
6% yield

using BA Pluse
n=20, i/y=3 , pmt=20 , fv=1000 give pv=851.23

But there is another way to use the Calculator
Button - bond
STD=01/01/2000
CPN=4
RTD=01/01/2010
RV=1000
360
2/Y
YLD=6
COMPUTE PRI I GET 583.43
i also use excel function PRICE and get the same answer
=PRICE(01/01/2000,01/01/2010,D8,0.04,0.06,1000,0)
why there is a difference ?
is that Related to accrude interest ?
tnx

 

[David Harper CFA FRM]

Hi convexity,

1. Almost the same, essentially the same, only difference is units:

a key formula is: DVO1 = price * mod duration / 10,000
and price * mod duration = dollar duration
so: DVO1 = dollar duration / 10,000
i.e., DV01 is est price change given 1 bps drop and dollar duration (as the slope of the tangent line) is estimated price change given 1 unit yield change (1 unit = 10,000 * 1 bps = 100 * 100 = 100%!) ... although we know that linear duration is totally error-ful at 1 unit change

2. I don't use those other functions but I notice the PRICE() function assumes $100 face value, so they actually do match if:
=PRICE(DATE(2000,1,1),DATE(2010,1,1), 4%, 6%, 100,2,0) = 85.122; i.e., * 10 = $851

David