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Hi @David Harper CFA FRM CIPM , this would be an absolute great idea! I'm currently starting to panick a bit, I have gone through basically almost all the topics for part 1 and now started to revise topics from T1 and T2 and boy do I have a lot of gaps... I think a "quick-and-dirty" recap of...

Hi @LMFRM , there are Study Notes for the other chapters, but not under the actual names, rather under this link: https://learn.bionicturtle.com/frm-study-planner/study-materials/study-notes-2013.p1.t4.-valuation Thanks.

Hi, please refer to the following post by David: https://forum.bionicturtle.com/threads/p1-t2-206-variance-of-sample-average.5271/#post-25262 Summarized: 206.2 includes the wording "exceeds which level", which implies a similarity to the VaR concept and therefore a one-sided tail event 206.3...

Hi Abhishek, I am normally not a huge fan of referencing Wikipedia, but in this case I found there a helpful pdf document: http://rowdy.msudenver.edu/~talmanl/PDFs/APCalculus/OnAsymptotes.pdf from which I post an interesting quote: <<an asymptote is “A line such that a point, tracing a...

Hi @sagr, the difference is explained by David in the following post: https://forum.bionicturtle.com/threads/p1-t2-300-probability-functions-miller.6728/#post-24058 Basically, for 300.2 you set p = 0.05 because it is stated "that 5.0% of the distribution is less than or equal to (x), what is...

Hi, you have in this question p = F(x) = (3/125)*(1/3)*x^3 = x^3/125 and you need to solve for x. The inverse of the third power (x^3) is the cube root or "^(1/3)". So from p = x^3/125, you have 125*p = x^3 and from there you apply the cube root to both sides of the equation resulting in...

1. A 2. C 3. B

1. B 2. A 3. C 4. D 5. B

Hi @LMFRM , I think we have to look at two aspects of option pricing simultaneously: the evolution of the risk-free rate and of the volatility (I just looked through the notes and also throught some very helpful posts in this forum, so the below is just a short summary with some additions from...

The swap rate is the fixed rate in an interest rate swap that leads to a zero value of the swap. At the same time the swap rate for a particular maturity is the swap par yield for the maturity (where the par yield is the coupon rate on a fixed income instrument that makes its price equal to the...

Hi David, sorry if this type of questions bothers you, but I was wondering about the following. Your post above states: Reading 36: Hull and White, LIBOR vs OIS Study Note Does the fact that the text "Study Note" is striked through mean that the Study Note has been published or won't be...

Hi @BlackSwan , David explains in the following link why "...the unexpected basis strengthening (weakening) that creates a profit (loss)..." https://forum.bionicturtle.com/threads/strengthening-of-the-basis.5528/ And in the Practice Question 03.10. (from Hull), the answer is "The basis is...

Hi @JoeriG , that's interesting, I somehow also asked myself this question some time ago, but went through the Practice Questions and saw that (for 164.1) the answer was indicated as gold, FX, S&P 500 being investment assets so I stopped bothering. Now I have looked in the original text from...

Hi @David Harper CFA FRM CIPM , thanks a lot, your answer explained this topic very, very well and I discovered I have forgotten some basic things which I went through a couple of weeks ago. :eek:

Hi @Ryan S , I remember also having some trouble with this question, until I found the following thread: https://forum.bionicturtle.com/threads/p1-t2-312-mixture-distributions.7103/ The answer should be: Prob(mixture)[X<0] = 0.30*15.870% * 0.70*2.28% = 6.352%, as P(Z<-1.0) = 1 - P(Z>1.0) = 1 -...

Hi, I am actually also confused, I would have computed for the 12-month rate as follows: 1*ln(1+12/89) - as per the formula m * ln (1 + R_m/m) for continuous compounding... Maybe there is something I am missing. @David would you happen to know the logic behind this computation?

Hi @MayaH, I'm also currently working on Hull's T3 Practice Questions, but I can't seem to find any problem "4.16" for Hull's Interest Rates. Maybe you could point at the page number/document name or provide some details from the question text? Thanks.

Hi @filip313 , I also had some difficulties at the beginning, but I found David's explanation in the thread helpful. Let me try to "rephrase" it: in a binomial distribution the variance of the number of defaults is n*p*(1-p). The question here is however related to the default rate. Since the...

Hi, with regard to your first 2 questions - I believe (but am not 100% sure, as I am also trying to grasp what has been added/deleted from 2013) that these two topics are not anymore relevant for 2014. Although, for what it is worth, the simulation of the stock price change should be similar...

Hi, I think it is correct that 0,4 is the correlation and not the covariance. The formula above states that Cov = Corr x Std 1 Std 2. In the covariance term above it should be 20% instead of 20 but otherwise this looks correct to me. Thanks.