continuous-compounding

  1. M

    credit spread - continuous compounding question

    Hi There was a question like calculate credit spread and express in continuous compounding. I believe they wanted us to use FRM I material for an FRM 2 question. If the credit spread is 3% then how would one express in terms of continuous compounding?? thx
  2. Nicole Seaman

    P1.T2.21.3. Returns, volatility and non-normal distributions

    Learning objectives: Calculate, distinguish and convert between simple and continuously compounded returns. Define and distinguish between volatility, variance rate, and implied volatility. Describe how the first two moments may be insufficient to describe non-normal distributions. Questions...
    • Nicole Seaman
    • Thread
    • continuous-compounding first-two-moments implied-volatility non-normal-distributions simple-compounding variance-rate volatility
    • Replies: 0
    • Forum: FRM® Practice Questions
  3. Jagan.Ganti

    Must dividend yield be continuously compounded

    Hi David, In reference to the basic Forward/Future formula for dividend yield (i.e. F0 = S0 * e^((r-q)*T)), must the dividend yield be continuously compounded (CC) given that the risk free rate is in the CC form. This is in reference to the following questions from JC Hull: The risk free...
  4. Jagan.Ganti

    Function for computing continuously compounded yield on BA II Plus Pro

    Hi In reference to the following question from Hull - I'm wondering if there is a way of directly computing continuously compounded yield (CCY) using a TI BA II Plus Pro. "4.27 A five-year bond provides a coupon of 5% per annum payable semi-annually. Its price is 104. What is the bond's...
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