I had also noticed that the videos were a little unreliable, but a few refreshes and pressing the play button a few times improved. Only since the start of April though, before that no issues. @Galaxy you can always download the video first which always works.
Just a quick one, feel free to move this if its in the wrong place.
Are there practice questions for this chapter?
Note from Nicole: I moved this question here to this thread, where we discuss updated materials that are being posted.The original thread referenced the T8 Grinold reading.
Also meant to add, you can see this effect on US172967KC44 (If you have access to a terminal)
Number of years to refix date = 0.13
Numerical Duration = 0.14 (ie Slightly larger because of the 1.31% spread)
BBG OAS1/Mod Duration =2.48
The way I did it was to model the whole bond, including the floating legs and the spread. Then use the numerical approach to blip both yield and libor up and down, adjusting the floating coupons, then reprice to produce the effective duration. I'd be really interested if you had some way to use...
Yes I did intend it as just a comment. Simply because I had been doing some duration calculations and found that the spread should be taken into account (atleast when comparing my own calculations with blombergs calculated oas1 duration).
I'm glad you brought up spread01 (ie risk a credit...
Is there a way you can see your detailed results without the email? I can login to the garp site but the email address is my work address and I'm not in until Friday. I found this list here but would be great to know the breakdown.
No problem, the video's are very helpful, thank you!
Given you are updating, I also think there is a very minor typo in the equation on log-normal price levels at 23:24. Missing a *T for the mean and vol^2 in variance.
Hey @David Harper CFA FRM I think there is a mistake in the video on black scholes. At 29.07 you list the assumptions, one of which is "No short selling is allowed". I think actually it is the reverse of this, "The short selling of securities with full use of proceeds is permitted", like the...
This is a very basic question on Quantifying Volatility in VaR models but I just want a definitive answer.
Do the non-parametric approaches make any assumptions about the distribution? Ie does it have to be normally distributed returns when using the MDE or Historical approaches?
Not sure if this is the right place but it looks like the learning objectives have updated a lot since you made the video for Chapter 6 Macdonald on Commodity Forwards and Futures, it feels quite out of date when compared to the current learning objectives. I don't think Gemin is part of the...
Hi David, thanks a lot for following up on this so quick! Lucky to have you!
I think I was getting tripped up with sign convention, of course both sides end up with negative inflows, they are borrowing!
I think the answer must be No, because I can create a swap that nets, but both parties are worse off.
A borrows at Libor - 0.1, lends to B at 3.85 fixed
B borrows at 4.2, lends to A at Libor
A -- 3.85 --> B
L - 0.1 <-- A B --> 4.2...