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Well I think GARP was like assuming that the 0.75% was like another start which was slightly the past of before the index soared to 11400. That's the only thing we can come up with for this Q. The options only contained 31.5 and 32.5 I believe

to apply the 4.25%. It would have to be LiBOR + 4.00%............the number 4 was definitely not what I saw and wrote down on the test sheet . Even when assuming that I have a bad memory and it was LIBOR + 3.5%. You would have to add 0.75% to get 8.5M for the 31.5 outflow. So back to applying my...

@troubleshooter. Well I'm not bragging about my memory but I do can say that 32.5 is absolutely right. First of all, I calculated every type of LiboR+3.xx% while the bond appreciated 20%(I think I even remember the index rates which were 9600->11500). There is absolutely noway that an interest...

If you calculate the L-duration based on selling them simultaneously(by combining all the positions into just one big chunk) then you will reach a calculation of 4.98xxxx or smthing. Which might shed some light on what should be the answer. I guess...

I just checked the schweser notes and found out that it should be 32.5M. I saw some say that we need to use the LIBOR at t=0 which is 0.25%. That's when the LIBOR remains flat. The question asked about the outflow at the scenario test time which is t=1(The LIBOR at that time is 0.75%) It's the...

http://www.shearman.com/files/Publication/f4e80b99-f0a1-4e3a-90f0-3bf21c7d0ce0/Presentation/PublicationAttachment/8d4e19cc-1ba3-4501-8fe6-63a6633d5b6b/FIA-033011-The_new_Basel_III_framework__Implications_for_banking_organizations.pdf this pdf file also says that cross-holdings are gonna be...

you do need to reduct it. Gross net spreads are the ones that don't have to be deducted. not "Net"