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Recent content by Tim_Rogers

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    Delta Neutralisation of a portfolio

    Whoa..Detective I have no idea why you are responding, you are not an employee of BT, my question has zero bearing or impact on you in the slightest. I have located the answer via an alternative source already, which was in a very similar format. In any case that same question appears on the BT...
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    Delta Neutralisation of a portfolio

    Nicole, I'm not a paid member, re the question I cant recall where I saw it but I would have thought that the question itself is not proprietary as its rather simple. Thankyou
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    Delta Neutralisation of a portfolio

    Hi, re the below question (which appears on the 2017 Mock Exam B): Suppose a financial institution has a portfolio that contains the following four positions in options on a stock: A long position in 20,000 call options and the delta of each of these...
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    YouTube TI BA II+: How to compute bond price on realistic (between coupons) settlement date (TIBA - 02)

    David, Thanks, yes its helpful, and thanks for responding on a weekend.
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    YouTube TI BA II+: How to compute bond price on realistic (between coupons) settlement date (TIBA - 02)

    David, I have a question concerning the use of the exponential function that is being used throughout the entire FRM course. Taking say calculation of Forward Prices as an example ie F0 = S0erT, is the calculation of a forward price, ie there is not a negative value applied to the rT amount...
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    FAQ Before Exam Practice Question Naming Convention

    I will soon start attempting to answer as many questions as possible in preparation for the exam in November. I have a few sources of questions from which to draw from, however when it comes to the BT practice questions can you shed some light on the naming conventions that have been used. For...
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    YouTube TI BA II+ Calculator: Essential Settings (TIBA - 01)

    Thanks David, I was beginning to be of the same mind ie to leave the settings as is and make the adjustments via the P, N and I/Y when calculating. I started to make the adjustment to both P/Y and C/Y after seeing a video re its use, but I will now leave as is. Thanks
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    YouTube TI BA II+ Calculator: Essential Settings (TIBA - 01)

    I have looked for this answer throughout the threads with no luck, so will need to post. If using the TI BA 11 plus calculator the P/Y and C/Y settings are quite crucial in ensuring the inputted values ie N, I/Y, PV, PMT and FV are input consistently. That said I have not seen any reference to...
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    BSM Model d1 and d2 and finding applicable z score

    Nicole, thanks I will do so in future.
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    Two step binomial model

    Yes, this does help, thanks. I expected it to be the case, but I assumed that from a 6 month period that the first step was being arbitrarily selected to be one half of the total period ie 3 months. Thanks and appreciate the response.
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    Two step binomial model

    In a two period binomial model, and assume that the option being valued is 6 months, with std deviation is 8 percent. For the initial up factor calculation the formula is Exp 0.08 srt .025. My question is why was time not calculated as .5, as this a 6 month call option? The up factor period...
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    BSM Model d1 and d2 and finding applicable z score

    I have two questions concerning d1 and d2 as inputs to the BSM model. 1. I have read in other sources that in the exam you will not likely be asked to calculate d1 and d2 but instead be provided with these as inputs for the BSM calculation. That said you will need to look up the applicable z...
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