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  1. K

    How to derive forward interest rates from spot rates (Hull vs Tuckman)

    In chapter 4 we used the formula RF(forward rate)=R2T2-R1T1/(T2-T1). This is applicable for continuous compounding. While solving the example given in study notes : As another example, what is the six-month semi-annual forward rate starting in 1.5 years years, F1.5,2? I tried calculated it 2...
  2. K

    Predetermined Future Price

    A key difference: is the future price predetermined? Consider two scenarios for a coffee producer that plans to sell 100 pounds of coffee on a future date: 1. To a key customer, the coffee producer promises to sell 100 pounds, on a date one year in the future, at $3.00 per pound. 2. To a key...
  3. K

    Variation margin

    thank you!!
  4. K

    Variation margin

    I am unable to understand how the gain/loss is calculated to be 180 when the price changes from 597$ to 596$ in the study notes. As per my calculation the gain/loss for 6th june should be 200*(597-596)=200$ loss. But your calculation shows as 180 Illustrated Example In the following example...
  5. K

    Covariance and correlation

    Zero Co variance implies zero correlation. But converse is not necessarily true.Can you elaborate this please?
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