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Relative to Grinold, equation 1.3 (optimal relationshipd between irsk averson, IR and active risk), can you explain the numerical example viz. IR = 0.5, AR = 5% leads to IR of .05 (is it just wrong)?

...sorry, found it in the Topics Review.

Can someone tell me how to locate the 6.c.1 spreadsheet - I cant find it posted anywhere.

Yes, Yes, otherwise the whole concept of the swap rate being a par rate falls apart! A floater is just a rolled forward set of of par bonds. If the coupon is set by the same curve as the discount curve, it should discount to par.

My issue is prompted by the provided answer and explanagion for Q16 in Mock Exam A. Because the floating rate used to generate the first year payment is not given, the methodology discounts the future cash flows from years 2 and years 3 (including the notional "principle") back to year 1 using...

Then I have a question about the practice question R4.P1.T1.404.1 where the the t-statistic of the supplied regression is given as the answer to the question "what is nearest to the residual-based IR?". Shouldn't the t-statistic from the regression in this problem be annualized to get the...

Hull uses continuous compounding for the yield in his bond pricing examples. In the sample question P1.T3.170.3 we are asked to compute the dirty price of a bond where the yield is given an 6% without any explicit compounding interval assumption. The solution uses a calculator to compute the...