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    November 17, 2012 Exam Results released - January 2, 2013

    Hi David. I read this banner in the GARP website in the 'After the Exam' section. Could you please clarify or correct me if the results are already released and we are not able to see the same. The phrase Exam results Released is misleading. Thanks Bhar
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    Exam P1 and Thanksgiving

    Hi David, I am writing to you this note, to thank you for the wonderful prep questions and notes. The exam was simply as predicted. The numerical problems were replicas from your practice questions. This is due to the indepth knowledge and effort that you have put in to frame these...
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    Swap Valuation - Q 10 2011 Garp Practice Question

    The solution to this comes to 4.2 while in the choices the answer has only 4. How does GARP actually justify this large differences in actual answers vs choices provided ?
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    Binomial Options Valuation Question

    What is the value of a 2 step EUR call option? st = 40; rf = 8%; 2 step eur call; k=37; proportion of up move = 1.2; probablity of up move = .67; t = 3 months
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    Page 29 - Study notes - Index Futures Contract

    Hi On Page 29, Index futures contract - example to reduce the beta from 1.5 to 1.2, the answer should be 9.67 contracts and not 97 contracts. Could you please clarify. The problem details are - Current Beta - 1.5 Target Beta - 1.2 Present Portoflio Value = 10m Index contract price , 1 contract...
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    Exam perspective - Delta Neutralising Positions

    Hi Current Position - Long Call; Position Delta +ve; Delta Neutralising trx - short stock Current Position - Short Call; Position delta -ve; Delta Neutralising trx - Long stock Current Position - Long Put; Position Delta -ve; Delta Neutralising trx - Long stock Current Position - Short Put...
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    Delta Gamma Neutral Portfolio - Hull Question 24

    Hi I came across this assignment problem in Hull. I tried to solve it but would like to get a correct answer to this problem. Could you please help. I have ignored the vega neutralising requirement from the original question as it is low testability. The answer I got - Gamma Neutralising trade...
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    Coefficient of Determination R^2 Calculation

    Hi In the mock Exam question number - 10 - the solution for R^2 is mentioned as True: Beta(P w.r.t. B) = correlation*vol(P)/vol(B), such that correlation = beta(P,B)*vol(B)/vol(P) and R^2 = Beta^2*vol(B)^2/vol(P)^2. In this case, R^2 = 0.8650*1.4090%^2/1.3240%^2 = 0.8474 In the substitution...
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    Adjusted Exposure

    Hi David On Page 114, in the notes, the formula (in blue) for Adjusted exposure would require a small correction. It should be AE = OS + (UGD% * Unused Commitment) Could you clarify.
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    Quarterly rate to Semi Annual rate

    What is a quarterly rate of 8.00% converted into its bond-equivalent (semi-annual) rate? Answer: we can take the long way and find the continuous equivalent, which is equal to LN(1.02)*4 = 7.92105%. Then convert that to the semi-annual rate, which is equal to [EXP(7.92105%/2) – 1]*2 = 8.080%...
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    Equivalent Periodic Return

    Hi David On Page 58 of Study note - 2012 T4 Valuation. Could you please help with the formula for the column Equivalent Periodic Return. I am not able to get the rate that you have solved for. Thanks
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