@QuantMan2318 @David Harper CFA FRM
I am a bit rusty on Integrals and so have a follow up question
V(t) = V(L )+ e^ -Gamma*T [ V(0) - V(L) ]
So, I/T * Integral [ V(t) ] = 1/T * Integral { V(L )+ e^ -Gamma*T [ V(0) - V(L) ] }
Now, Integral { V(L )+ e^ -Gamma*T [ V(0) - V(L) ] } = Integral...
@QuantMan2318 @David Harper CFA FRM Have one more follow up question on this one..
So, the Variance for a future time period is given by :-
()=+−[()−] -------Equation 1
To find the estimate of implied volatility at time T we take the average of the above (Average volatility) which is the...
Thanks again so much @QuantMan2318 - Think I got it this time around
As Gamma is a small no, (Gamma)^2 and Higher Powers of Gamma and so on are negligible and can be approximated to 0.
So by the Taylor Series Expansion of Ln ( 1+ x) approximates to x with the higher powers of x being almost...
Thanks so much @QuantMan2318 - thought I almost understood this - and then hit this hurdle ...:confused::confused:
As you rightly pointed out: Given that Gamma = [ 1 - (Alpha + Beta ) ] , How is Gamma = LN [ 1 / (Alpha +Beta ) ] ...? :confused::confused::(
Hi,
In the Problem below, how and where did we get Alpha = LN( 1/.98 ) ...? which formula is this ...?
Also, in Part C of this problem, where did we get the part highlighted in yellow ... :confused::confused: ...?
Thanks all for any insights on this.
Question 10.21
Suppose that the...
Hi,
In Reference to HULLCH10_Question 10.5:
What is Simplified Approach Equation 10.4 the the solution is referring to here ..? :confused::confused:
Question 10.5: Suppose that observations on an exchange rate at the end of the past 11 days have been 0.7000, 0.7010, 0.7070, 0.6999, 0.6970...
Hi,
@David Harper CFA FRM had indicated in a thread that -" The general form of the F-statistic is F[numerator df, denominator df] = (ESS/df)/(RSS/df) "
F -Statistic is also expressed as = {Sum Of Squares BETWEEN / df-BETWEEN } / { Sum Of Squares WITHIN / df-WITHIN } => This expression of...
Hi,
For BODIE_CH10_EOC_QUESTION_9 :-
I need help understanding the solution a & b to this problem- Would be very grateful if someone could elaborate on both points 'a' & 'b' ..? :(:(
Thanks much for all the help.
Hi,
I am not able to locate as to where I had found the formula for the "Discrete"-Forward-Rate Formula....
and I had wrongly noted this formula with slight differences in 2 different places - Can someone please help me figure which is the right one ..?
I wanted to confirm which is the...
Got it :):):cool::cool: Thanks so much @David Harper CFA FRM - I was missing the key insight that the floating rate is observed at the beginning of the (six-month, in this case) period, but paid at the end of the (six-month) period - that helped a lot :):)
Thanks @Nicole Seaman for the links above - I did check them out... I was trying to use the same techniques to calculate the Prices of the 2 Bonds for the Currency Swap Valuation- but the answer I am getting is way different than if worked out by hand somehow....and so I was trying to see if I...
Hi- I was revisiting this example and have a follow question-
For the Floating Rate Cash Flows, the Problem statement states that the 6-Month LIBOR at the Last Payment Date =10.2 %
" Last-Payment Date " with respect to which point in time..? Instead of T= .25/3 Months, Last Payment Date could...
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