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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...

Hi David, I am referring to your video - 2012.P1.-Focus-Review-4 where you have framed a question in regard to Forward rates and supposed to calculate 2yr forward rates starting in 3 yr. Could you pls remind me of the formula you used for the answer. I was relating to the discrete and...

Hi David, Pls elaborate more on the answer provided to below question.To my understanding, we should have selected the answer c), since it exceeds the value (5) for 99% confidence. Text highlighted in red is not clear. 207.1. A bank's VaR, calibrated with 99% confidence and a one-day...

Hi David, Could you pls help me understand why we add the tranche A interest ($1.5 million) to the principal amt since this cash was being paid to the investor. Do we add fund outflow to the principal outstanding when asked to calculate total cash flow? listed the question with answer below...

Hi David, Isn't "Bull Spread with Put" will look like "Bear spread with Put"? In the study note - we have talked about bull spread in reference to call but one of the practice questions I encountered bull spread with put and we said in the answer explanation section - it's a bullish outlook. I...

Hi David, Could you pls clarify my doubt stated below - When we did the hypothesis test in VAR chapter and calculated the t-statistic value, we always use to compare it with critical/look up value based on confidence level to make a call whether to reject or accept the hypothesis. So we were...

Hi David, Could you pls elaborate on the definition for law of price which says - "two securities with exactly the same cash flows should sell for the same price". Do we mean by cash flow -> the coupon payment for bond A & B should be same if payment made semi annually (for e.g) to be...

Hi David, I see in one of the practical question, you have converted -> If the price of a zero-coupon six-month Treasury bill is $98.00 then six month zero rate (continuous) will be - The six-month zero rate = LN(100/98)*2 = 4.0405%. Could you pls highlight more on the formula. Where can I...

Hi David, Could you pls clarify on the below calculation listed in the doc (2011-T3.Hull-Chapter5&6) - 173.1. The 300-day LIBOR zero rate is 3.0% per annum with ACT/365 continuous compounding. The Eurodollar futures quote for a contract maturing in 300 days is 96.00; as usual, the Eurodollar...

Hi David, shouldn't the answer be a) 168.5. If French money market instrument pays in Euros with an interest rate of 5.0% per annum with (discrete) annual compounding and under an actual/360 day count (ACT/360) convention, what is the equivalent rate under continuous compounding under an...

Hi David, the link which you attached as a correction to the below question is not working anymore. Could you pls clarify, how we got the desired result. I am referring to 2011 T3.Hull-Chapters-5&6.pdf 168.3. An investor has funds invested in a German money market instrument that pays in Euros...

Hi David, I am referring to a question from last year doc - T3.Hull-Chapter-7 (Page 12) 177.3. Company A, the fixed-rate payer, enters into an interest rate swap with Company B, the floating-rate payer. Company will pay 4.0% per annum in exchange for six-month LIBOR, with an exchange every six...

Hi David, This will be a very silly question but I need to ask to get a clear picture. This is to understand "Basis Risk on page - 110 (2012.T3.Products.pdf). Statement - "The basis converges to zero over time, as the spot price converges toward the future price. When the spot price increases...

Hi David/Suzanne, I was wondering where should I look for 2012 spreadsheets (I mean - should I be looking at 2011 spreadsheet if they same for this yr or there will be new sheets added to 2012 section in the future). Actually, I wanted to look for the calculation of IRP example (pg-48) & Cost...

Hi David, I am referring to 2012.T3.Products.pdf on page - 32. I am not able to understand the mind set behind the following statement - Traders argue that Treasury rates are too low to be used as risk-free rates because: 1. Market demand: Treasury bills/bonds must be purchased by financial...

Hi David, Pls explain the difference when we say - there is a build in correlation for Boot strap simulation Vs both (Monte Carlo & Boot Strap) incorporates no auto correlation? Thanks, atandon

Hi David, I am little confused with the “No perfect collinearity” statements on page 66 & 67 (2012.T2.Quantitative.pdf) - 1. On page 66 - The regressors exhibit perfect multi-collinearity if one of the regressors is a perfect linear function of the other regressors. The fourth least squares...