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    Hull Risk Management Ch10 - EOC-QUESTIONS 10.21 and 10.5

    @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...
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    Hull Risk Management Ch10 - EOC-QUESTIONS 10.21 and 10.5

    @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...
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    Hull Risk Management Ch10 - EOC-QUESTIONS 10.21 and 10.5

    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...
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    Hull Risk Management Ch10 - EOC-QUESTIONS 10.21 and 10.5

    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::(
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    Hull Risk Management Ch10 - EOC-QUESTIONS 10.21 and 10.5

    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...
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    Hull Risk Management Ch10 - EOC-QUESTIONS 10.21 and 10.5

    Thanks so much @Nicole Seaman for coming to the rescue so promptly :):)
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    Hull Risk Management Ch10 - EOC-QUESTIONS 10.21 and 10.5

    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...
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    F- Statistic Formula Variations

    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...
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    BODIE_CH10_EOC_QUESTION9

    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.
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    Shortcut to forward rates (if you have bond prices)

    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...
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    R19.P1.T3.HULL Ch7 Currency Swap Valuation XLS

    SPOT ON !! :):):):):)THANKS YOU !! I see the point I was missing !! THANK YOU !!
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    Hull Chapter 7: Swaps

    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 :):)
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    R19.P1.T3.HULL Ch7 Currency Swap Valuation XLS

    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...
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    Hull Chapter 7: Swaps

    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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    R19.P1.T3.HULL Ch7 Currency Swap Valuation XLS

    I was revisiting this topic-Eg 2 of Currency Swap and had a follow up question -Please refer to the screenshot below:- Below we are trying to find the Swap Value using the Bond Method -that is, treating the Domestic and Foreign Cash Flows as 2 Bonds as illustrated below. However, in order to...
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    FIN_PRODS_HULL_CH6_INTEREST-RATE-FUTURES-PRACTICE-QUESTION-6.27

    In Reference to FIN_PRODS_HULL_CH6_INTEREST-RATE-FUTURES-PRACTICE-QUESTION-6.27 :- Why do we Short at Time =T and Go Long at Time = T* to lock in the forward rate for the span of time T to T* ..? Are we expecting a the value of the Canadian $ to fall at Time = T* and so we are selling the...
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    HULL Ch 5 Practice Question 5.23

    Thanks so much @David Harper CFA FRM for the above explanation- crystal clear now - Thank You so much for taking the time to explain the above :):):)
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    HULL Ch 5 Practice Question 5.20

    Thanks so much @David Harper CFA FRM for your insights on this - this helped a lot !! :):)
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    HULL Ch 5 Practice Question 5.20

    In Reference to FIN_PRODS_HULL_CH5_Determination_Of_Forward_and_Futures_Prices_Practice_Question_5.20 :- I have the following Practice Questions Hull 5.20:- It states that F0 = S0 * e^(r-q) *T Should it not be Ft = S0 * e^(r-q) *T instead ..? Because if F0 = St * e^(r-q) *T , then , the...
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