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    Swaps : 722.3 : Nearest estimate for the forward LIBOR rate

    Hi @David Harper CFA FRM Can you kindly help me to understand how we have calculated forward LIBOR rate here. Below snippet is from your s/s this is in reference of SWAPS - 722.3. thanks, Ankit
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    Hull Ex. 7.3: Valuing a swap in terms of FRAs

    Hi @David Harper CFA FRM, request your help to understand the below concept, while doing SWAP valuation to calculate floating rate, we divide floating rate by 2. I'm not sure why we doing this . To my understanding is given floating rate is already semiannual ( highlighted in red in the below...
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    HULL Ch 5 Practice Question 5.23

    Hi @David Harper CFA FRM Can you kindly help me to understand the logic of "Zero Variance Hedge" in context of this question. I'm bit confussed on Zero Variance hedge condition so not sure how we drived zero Variance hedge over here. Price with Hedging : hF(0) + S(t) - hS(t)e^(r-rf)(T-t). we...
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    P1.T3.710. Long and short hedges (Hull Chapter 3)

    Hi @David Harper CFA FRM, Can you kindly help me to understand this concept ( short hedge bias can be both +ve and -ve ) again, to my knowledge 1. Short Hedge = Short Forward Contract : Basic = Spot - Forward : = -ve Bias . how we will explain that Short hedge can be postive also. Also...
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    Hull, Chapter 7 , Swaps

    Thanks @Matthew Graves,understood the logic
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    Hull, Chapter 7 , Swaps

    Hi @David Harper CFA FRM , In reference of Hull Ex 7.3 , Can you help me to understand the formula we are using to calculate Forward Rates (s.a ) , Is there any generic formula for this, not sure how we derived this FR ( s.a ) = =2*(EXP(3.40%/2)-1)
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    Tuckman Table 5.4: First Five Rows

    Hi @David Harper CFA FRM , request your inputs
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    Tuckman Table 5.4: First Five Rows

    Hi David, I'm working to understand the calculation we have in Tuckman Table 5.4: Row (vi). But not very much sure why we used below formula to get the dollar amount : For 2 year : =$E28*10000*F$23 where F$23 = (0.0010) and $E28 = -100.000 mn
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    Table 5.2: Key Rate DV01s and Durations of 30-year C-STRIP

    Hi @David Harper CFA FRM can you share your view on this
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    Table 5.2: Key Rate DV01s and Durations of 30-year C-STRIP

    Hi, In the given table, can you help me to understand the logic of calculation we have used to derive Shock and D(t) I'm not very much sure what is generic forumula / theory used to calcualte the =I30-($G$30/($A$36-$A$30)) [ Snippet 1 ] And while calcualting D(t) why we used "2" --->...
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    FRM Level 1 May'19 Study Group

    Add me too +65 91754335
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