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    Exam Feedback FRM Part 1 (May 2015) Exam Feedback

    Cleared FRM part 1 (2,1,1,1). I am grateful to David for his excellent questions and his desire to help us understand the concepts through detailed explanations in forum and for his patience. And thanks to all in the forum for taking out time to answer my questions. Thanks Nicole and BT...
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    Error term in multiple regression

    Hi David, If Error term's variance varies with DEPENDENT variable, then also the condition of homoskedasticity is broken right? It makes sense to me as Dependent variable establishes indirect relationship between Error and Independent variable as Dependent variable itself is dependent on...
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    Duration of a Floating Rate Note

    Yes, true. Thanks for the explanation David.
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    Duration of a Floating Rate Note

    Hi David, As mentioned by Girish in the beginning: "In FRM handbook, it is given that the duration of the Floating Rate Note immediately after the rate adjust is zero and the duration in the intermediate period is time left till next rate readjustment." However you seem to have disagreed...
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    Tuckman Fixed Rate Mtg. Payment - Example in Reading

    Hi Josh, Please try using Calculator for this: Since the outstanding balance is PV of the future monthly EMIs, we can calculate required values as below: 1. PV=100,000, N=12*30=360, I/Y=4/12, CPT PMT 2. N=25*12, I/Y=4/12, PMT= 477.41, CPT PV (now its only for 25 years) Thanks...
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    Wold's Theorem

    Ya true. Was just wondering if there is a history of GARP going bit easy on the newly added topics in the immediate exams:-). Anyway it makes sense that we cant predict anything and there are equal chance of testability of these new topics as any other seasoned topic. Thanks Shakti and...
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    Wold's Theorem

    Hi All, I have a similar question too regarding these newly added topics, Diebold chapters, Copula and few others. Historically is there a pattern of testability of newly added topics. How should we go about preparing for these topics etc. Kindly share your experience. Thanks, Praveen
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    T3. Markets & Prdts (McDonald and Geman)

    Thank you for your time and explanation Shakti.
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    T3. Markets & Prdts (McDonald and Geman)

    Hi Shakti, Right, the short seller will give the dividend back to the lender. If there are not any dividends paid during the lending/lease period short seller would give Only fees to the lender for borrowing the assets. And if there are dividends he would give dividend+fees to the lender. Cost...
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    T3. Markets & Prdts (McDonald and Geman)

    ''Lease rate The lease rate is to commodities what the dividend is to financial assets: it is the rate received by the owner of a consumption asset from the investor for borrowing the asset. Lease rate payment is clearly a benefit to the owner of the asset. Accordingly, it has the effect of...
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    P1.T3.403. Futures margin and delivery

    Hi David/Forum, Kindly help me understand the ''Daily Gain/Loss'' in the attachment. This is the example taken from "Hull, Chapter 2: Mechanics of Futures Markets", R12.P1.T3.Hull_v3. Page no 21. When futures price decreases from 597 to 596 (from 5th July to 6th July) total loss would be, 1$...
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    Exercise HULL 06.11

    Hi Shakti, Ok, so if we do not subtract the AI from (p1-pv of coupon)*exp(yield*270/365), it will be the Dirty price of bond and if we subtract the the AI, it will be Futures price as well as quoted bond price. And also i understood that (p1-pv of coupon)*exp(yield*270/365) is nothing but the...
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    Exercise HULL 06.11

    Hi Shakti, "To arrive dirty price 270 days in future we compound dirty price today and (you meant minus in place of 'and') pv of coupon at next settlement at 10% the yield which shall give the pv of all the future cash flows after 270 days in future which is nothing but dirty price 270 days in...
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    Win prizes for forum participation!!

    wow!! that's very nice. Thanks Nicole and BT! Please let it accrue for now (Amazon gift card).
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    Exercise HULL 06.11

    Hi David/Shakti, I have a similar doubt too. Please refer to attached. In cell D20 we calculated Future price as below: Futures Price=(Dirty Price - PV of coupon) * EXP^(Interest rate * 270/365) Once we arrive at this price, why is AI for 148 days is subtracted from the Future Price...
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    Miller Chapter 3: Basic Statistics - Study Notes

    Hi Jayanthi, Thanks a lot, have mailed on the above id. Now i came to know that its free for paid members:-) Praveen
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    Miller Chapter 3: Basic Statistics - Study Notes

    Hi Jayanthi, Please can you let me know how you downloaded the 2015 Practice Exam. I have not received any mail from GARP regarding that. From the above link when i click on Practice Exams, it takes me to the page where i have to buy that for 100 dollars? You meant that only above? Thank you...
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    P1.T4.16 Tuckman :hedging given DV01 or effective duration

    I think i got it, dollar 7 change is w.r.t 107.93, in terms of percentage it is 6.49%, which is the duration of the bond. Thank you.
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    P1.T4.16 Tuckman :hedging given DV01 or effective duration

    Hi David, Duration is % change in price of a bond for 1% (100bps) change in interest rates. Here the price is changing by .07 (from 107.93 to 8) for 1 bp (4% to 3.99%) change. Hence would not duration be change in price for 100 bps change i.e 0.07*100 i.e 7 years? Kindly advise. Hi...
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    Eurodollar Convexity ADjustment

    Thanks for the explanation David.
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