1. A zero-coupon bond with a maturity of 10 years has an annual effective yield of 10%. what is its modified duration?
A 9
B 10
C100
Shouldn't we use D/(1+y/2)? The explanation just use D/(1+y). There must be a difference between periodic yield and effective yield.
2. Which type of option produces discontinuous payoff profiles?
A Choose options
B Barrier options
C Binary options
D Lookback options
I think BOTH B&C should be the answer while the practice exam gave C as its answer.
Anyone can help me? Thanks!
A 9
B 10
C100
Shouldn't we use D/(1+y/2)? The explanation just use D/(1+y). There must be a difference between periodic yield and effective yield.
2. Which type of option produces discontinuous payoff profiles?
A Choose options
B Barrier options
C Binary options
D Lookback options
I think BOTH B&C should be the answer while the practice exam gave C as its answer.
Anyone can help me? Thanks!
(and wrong ...). Can i ask, what is the source? (Question 1 is not in the nature of the FRM). I think i will float these up to the FRM Fun question, so I'm going to hold off on giving my own answer (although, I agree with you on both). Thanks!