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yes hence total---return and coupon..convertible bond as the underlying TRS are common

how does one mtm an equity swap ? discount the total return vs the libor plus spread and net it? does anyone know as this method would be difficult? Thanks

How does the industry mark a plain vanilla equity swap and what risk measures are associated with an equity swap ---equity delta only i think Thanks

Hi David: If a single name CDS has a spread of say 800 bps is the the quarterly premium paid by the buyer 200 bps of the notional..also if that is the case is this fixed for the life of the swap or flutuates with the market. Also the 800 bps spread is over what and what is the relation to...

The FRM has given me a solid foundation. I wanted to know if David or someone nows of a book or paper that takes the knowledge and applies it extensively to the real life examples. Portfolio risk and how do risk managers view and interpret risk. Let me know cheers

no worries will the mock exam for level 2 be available on the practice questions and if so when thanks

Ok thanks again Just wanted to ask if there is an easy way to do the dollar weighted return with your HP 12 C regarding the example below. question 15.2 on the practice questions

Hi david: Any spreadsheet on this that I can explore? Need to work through a couple of examples pre level 2 thanks Rick

Hi david when will 8d and 8 e be ready to view thanks

Hi David: In one of your practice questions, if we will wanted the incremental VAR of of the CAD positions why is USD removed? 2.6. C. $592,000 (component VaR) and $329,000 (incremental VaR) Since beta = Cov/Var = (correlation * volatility * volatility) / variance --> correlation = beta...

Hi David: I noticed that the calculation for VAR has n/N u as an input… in the examples, I noticed that the Nu/n is used. In other words, the reciprocal. Is this a typo or are the examples assuming we know the difference. Thanks Rick

Hi david: Tried to do this question and I am rather confused. Can you please explain as to what key rate hedging is trying to accomplish and will we need to know the methodology to obtain the face value as discussed in the samle question. thanks Rick

Hi David: I am going through chapter 9 in tuckman's term. I used the main concepts from a qualitative view but am trying to figure out how much I will need to do from a quatitative point. Are we expected to price a CMS. Please provide your insight. thanks Rick

Hi David: Do we have a formula sheet for level 2 2012? Also I hear the exam is not as challenging as the level 1. Wanted to get your thoughts...being that a level 1 passes can only take it should increase the competition a bit cheers Rick

Hi David: Will fixed income mapping--principal, duration and cash flow mainly be a qualitative topic. It does say list the describe. I did your questions on the interpolation of duration mapping but should I sprend time on these. let me know thanks Rick

Hi david: I am able to calculate the BEY of the MBS. However, in reference to calculating the nominal spread through an interpolate process, well it is rather confusing. We will need to calculate this and if so can you please comment on the procedure if possible. Thanks Rick

But the calculation startes with the price of V if interest rates be drop on the numerator - the V if interest rates rise correct?

Hi David: I noticed that the effective duration for MBS differed to the effective duration of a regular bond. V- - V+ vs V+ - V- (MBS) on the numerator. Wanted ensure this is not a typo and if not the logic behind it. Thanks Rick

If the coupon increases does the duration increase or decrease. Think it decreases due to faster cash flows but is this the true reason. Thanks Rick

thanks david clears it up a lot..I asked you too many questions related this topic and this clears it up big time