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    FRA Formula.

    oops i meant forward rates, not forward rate agreements...
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    FRA Formula.

    Hi David, As I learn more in Hull, I like to keep switching chapters to reiterate some of the points I previously learned to reinforce what I'm currently learning. It takes a lot longer to do but I think is worth it..... For some reason I keep forgetting the formula for the FRA valuation...
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    Interest Rate Bond Futures.

    Hi David, Just one thing I want to point out w.r.t. conversion discrete/continuous which caught me out a little since you mentioned it..... I was working through the convexity adjustment for Eurodollar Futures/FRAs where its converted to monthly. Then I had a brain wave and thought I'd try...
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    Eurodollar Futures.

    Hi David, Sorry, but I’ve got another question if you’ve got some spare time, this time relating to Eurodollar futures. No urgency though, it’s more curiosity than anything else. When pricing a future we have a combination of equations depending on the underlying which results in a...
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    Interest Rate Bond Futures.

    Hi David, Thanks for that. Phew!.... glad I'm not going mad.... yet. I TOTALLY appreciate that you're not responsible for Hull or any other text and I'm very appreciative of your continuous efforts. The problem is there's only one Bionic Turtle! I'm only pointing it out so that others...
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    Interest Rate Futures

    Hi David, I was working throught the example on Hull and had to study it for a while to price the future for the Treasury Bond on page 137. I think its easier to follow (or more intuitive to me anyway) if you discount all the coupons in one go. So work out all the cashflows together as...
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    Interest Rate Bond Futures.

    Thats great Just as a bit of an aside while I'm on the the Hull text. I'm not sure if this is correct but I think the formula in Hull for working out the price% w.r.t. yield for a US Money Market Instrument on page 131 may actually be wrong. Could easily be me that's wrong - I've been seeing...
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    Interest Rate Bond Futures.

    Hi David, Thanks for the quick reply, its really appreciated. As per usual top draw stuff! I think I grasp what you are saying - Hull is looking at the cash flows at the point of the 1st cash flow, and so the cash at this time is $4. I did what you suggested. I used the 37 cash flows...
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    Interest Rate Bond Futures.

    Hi David, There's something about Hull that I can't grasp when working out the conversion factor for the Treasury Bond futures. I think I get the concept ok, but when I work through the cash flows for the instrument with the extra 3 months after rounding down I can't seem to make total...
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    Floating Leg Of Swap Valuations

    Hi David, Great site - very pleased with my purchase. I'm a little stuck on putting together the floating leg part of the swap w.r.t. for screencast LO 31.6. I think I understand the fixed rate side no probs. 1. The last cash flow is 1.25 years with a LIBOR of 6.5%. But isn't this is...
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