replicating-portfolio
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Replicating Portfolio, Tuckman Table 1.5
Hi David - I have a question about Tuckman, Chapter 1 - Prices, Discount Factors and Arbitrage, Table 1.5 Replicating Portfolio. This may sound stupid but I wanted to understand the logic behind the calculation of the face amount of the 3 bonds. I have access to your sample spreadsheet so I...- arpitasaraswat
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- face amount replicating-portfolio tuckman
- Replies: 8
- Forum: P1.T4. Valuation & Risk Models (30%)
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P1.T4.901. Exploiting arbitrage opportunities with a replicating bond portfolio (also: clean versus dirty, and day-count conventions) (Tuckman Ch.1)
Learning objectives: Construct a replicating portfolio using multiple fixed income securities to match the cash flows of a given fixed income security. Identify arbitrage opportunities for fixed income securities with certain cash flows. Differentiate between “clean” and “dirty” bond pricing and...- Nicole Seaman
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- accrued-interest arbitrage-opportunities clean-price day-count-conventions dirty-price fixed-income-securities replicating-portfolio
- Replies: 0
- Forum: FRM® Practice Questions