Recent content by sm@23

I also received on 1st Nov in Singapore.

Submitted on 3rd July , received on 26th July

Passed . Thanks @David Harper CFA FRM

hi @David Harper CFA FRM thanks again. However I don't have access to that spreadsheet. But I am able to replicate the above in Excel myself .Got my conception clear now :)

hi @Nicole Seaman I posted in wrong section ,please move this thread to P2.T8. Investment Management . Thanks

hi, how did we conclude the last line when payoffs are constant ?

thanks @David Harper CFA FRM . yes I agree they are best understood in the spreadsheet :)

hi, a. What is the difference between long-run value of the short-term rate & the long-run true rate of interest ? b. Why Vasicek model will produce a term structure of volatility that is declining ?

hi, Why the shape of term structure is downward sloping for model 1 though middle node is recombining in rate tree?

thanks .That's really helpful to see the proof :) @David Harper CFA FRM

hi @David Harper CFA FRM trying to understand ES formula mentioned above , NORM.S.DIST(NORM.S.INV(0.99),FALSE)/(1-0.99 ) returns to pdf value at 2.32 divided by 0.01. But not able to relate to Dowd definition ( refer attached) .

Pass 1111 . Thanks BT

thanks @David Harper CFA FRM . your old thread on this really makes sense.

Hi , The forward contact price F(t,T) = s(t) - ke^(-r*(T-t)) . In that case df/ds ( delta)=1 . But mathematically howz that different for future contract price since dr/ds=0. So delta would be 1 mathematically. Am I missing something?

Hi, These are 3 investment scenario mentioned below in page# 4"https://www.cmegroup.com/trading/interest-rates/files/understanding-eurodollar-futures.pdf" E.g., consider the following interest rate structure in the Eurodollar (Euro) futures and cash markets. Assume that it is now December...