Humne option free bond issliye nhi liya kyoki option free bond duration same rhta h interest increase ho ya decrease but in case of callable bond toh jb interest rate decrease hota h toh duration uska negative ho jata h or fir jb interest rate increase hota h toh callable bond ka duration increase hRead more
Humne option free bond issliye nhi liya kyoki option free bond duration same rhta h interest increase ho ya decrease but in case of callable bond toh jb interest rate decrease hota h toh duration uska negative ho jata h or fir jb interest rate increase hota h toh callable bond ka duration increase hone lgta h. Mtlb tum imagine kro diagram or hum left se righ ja rhe h.
I think option A is the correct answer. Our break even inflation is 2% and component of breakeven inflation is expected inflation + premium for uncertainty in inflation. Toh humara expected inflation toh less than 2% hi honga na.
I think option A is the correct answer.
Our break even inflation is 2% and component of breakeven inflation is expected inflation + premium for uncertainty in inflation.
Toh humara expected inflation toh less than 2% hi honga na.
Cheapest to deliver bond kbhi dia nhi jata isse hum bs loss pta krte h ki kitna hua h or CDS seller CDS buyer ko deta h. Physical settlement hum tb prefer krte h maanlo koi bond h jiski rating same h humare reference obligation se but vo trade kr rha h 60% of par or humara kr rha h 50% toh isme tumRead more
Cheapest to deliver bond kbhi dia nhi jata isse hum bs loss pta krte h ki kitna hua h or CDS seller CDS buyer ko deta h.
Physical settlement hum tb prefer krte h maanlo koi bond h jiski rating same h humare reference obligation se but vo trade kr rha h 60% of par or humara kr rha h 50% toh isme tum physical settlement choose kronge kyoki agar cash settlement choose Kiya toh Hume sirf 100-60 = 40 milenge or apna bond bech ke 50 toh total 90 milenge but physical m hum apna bond CDS seller ko dedenge or 100% lelenge.
Agar level one SD increase hota toh yield negative m aata kyoki exhibit m negative dia h or agar one SD decrease hua toh yield positive ayenga. Same with other two steepness curvature.
Agar level one SD increase hota toh yield negative m aata kyoki exhibit m negative dia h or agar one SD decrease hua toh yield positive ayenga. Same with other two steepness curvature.
Bond 4 has assumption of no protection period mtlb bond kbhi bhi exercise ho skta h even at time 0. If we calculate value using binomial model then at time 0 value comes to greater than 100 it means at time 0 bond is exercised and value of callable bond = 100 and then compare it with straight bond.Read more
Bond 4 has assumption of no protection period mtlb bond kbhi bhi exercise ho skta h even at time 0. If we calculate value using binomial model then at time 0 value comes to greater than 100 it means at time 0 bond is exercised and value of callable bond = 100 and then compare it with straight bond. Hence option C is the correct answer.
Dekho vaise toh hum value nikalte h jaise sir n sikhaya h. Mtlb phle value of fixed rate pay side nikalo and then floating se subtract krdo but iss question m alag kya h ki unhone khud 1 saal baad current fixed rate dediya but agar hum ye rate khud calculate krte aaj with given discount factor toh aRead more
Dekho vaise toh hum value nikalte h jaise sir n sikhaya h. Mtlb phle value of fixed rate pay side nikalo and then floating se subtract krdo but iss question m alag kya h ki unhone khud 1 saal baad current fixed rate dediya but agar hum ye rate khud calculate krte aaj with given discount factor toh alag rate aata issliye hum isme dusra method use kerenge.
Ab dusre method m hum phle Wale fixed rate ( at initiation ) ko aaj ke fixed rate se compare kerenge. And difference calculate kerenge which is 3-1 = 2%
Now we compute 2% of 50000000 = 1000000
And we multiply this with addition of discount factor which is 0.990099+0.977876 = 1.96798
And ans is – 1000000*1.96798 = -1967975
And minus issliye aaya kyoki bank as a receiver floating enter Kiya h and rate girr gya toh usko nuksaan hua.
If you read the statement carefully. Then he is talking about gamma. Because it states that rate of change of option price speed up or down for a given change in price of sn underlying. Its a tricky question.
If you read the statement carefully. Then he is talking about gamma. Because it states that rate of change of option price speed up or down for a given change in price of sn underlying.
original swap term = 3 1st year complete ho chuka hai. it means we only use 1st and 2nd-year present value factors. for calculating the value of the swap(fixed pay side). we assume this is like a bond with a fixed swap rate. now, calculate the coupon amount which is 0.03*50000000 = 1500000 then we aRead more
original swap term = 3
1st year complete ho chuka hai. it means we only use 1st and 2nd-year present value factors.
for calculating the value of the swap(fixed pay side). we assume this is like a bond with a fixed swap rate.
now, calculate the coupon amount which is 0.03*50000000 = 1500000
then we apply the formula given in the book and the answer comes to 1500000(0.9901+0.97788)+50000000*0.97788 = 51845762.5.
and we know from the floating side value = par which is 50000000.
and now the question asked about value from the bank side that is fixed pay side which is equal to 51845762.5-50000000= 1845762.5.
Valuation and Analysis of Bonds with Embedded Options
Humne option free bond issliye nhi liya kyoki option free bond duration same rhta h interest increase ho ya decrease but in case of callable bond toh jb interest rate decrease hota h toh duration uska negative ho jata h or fir jb interest rate increase hota h toh callable bond ka duration increase hRead more
Humne option free bond issliye nhi liya kyoki option free bond duration same rhta h interest increase ho ya decrease but in case of callable bond toh jb interest rate decrease hota h toh duration uska negative ho jata h or fir jb interest rate increase hota h toh callable bond ka duration increase hone lgta h. Mtlb tum imagine kro diagram or hum left se righ ja rhe h.
See lesseconomics investment
I think option A is the correct answer. Our break even inflation is 2% and component of breakeven inflation is expected inflation + premium for uncertainty in inflation. Toh humara expected inflation toh less than 2% hi honga na.
I think option A is the correct answer.
Our break even inflation is 2% and component of breakeven inflation is expected inflation + premium for uncertainty in inflation.
Toh humara expected inflation toh less than 2% hi honga na.
See lessCredit default swap
Cheapest to deliver bond kbhi dia nhi jata isse hum bs loss pta krte h ki kitna hua h or CDS seller CDS buyer ko deta h. Physical settlement hum tb prefer krte h maanlo koi bond h jiski rating same h humare reference obligation se but vo trade kr rha h 60% of par or humara kr rha h 50% toh isme tumRead more
Cheapest to deliver bond kbhi dia nhi jata isse hum bs loss pta krte h ki kitna hua h or CDS seller CDS buyer ko deta h.
See lessPhysical settlement hum tb prefer krte h maanlo koi bond h jiski rating same h humare reference obligation se but vo trade kr rha h 60% of par or humara kr rha h 50% toh isme tum physical settlement choose kronge kyoki agar cash settlement choose Kiya toh Hume sirf 100-60 = 40 milenge or apna bond bech ke 50 toh total 90 milenge but physical m hum apna bond CDS seller ko dedenge or 100% lelenge.
yield changes
Agar level one SD increase hota toh yield negative m aata kyoki exhibit m negative dia h or agar one SD decrease hua toh yield positive ayenga. Same with other two steepness curvature.
Agar level one SD increase hota toh yield negative m aata kyoki exhibit m negative dia h or agar one SD decrease hua toh yield positive ayenga. Same with other two steepness curvature.
See lessvaluation of bonds
Bond 4 has assumption of no protection period mtlb bond kbhi bhi exercise ho skta h even at time 0. If we calculate value using binomial model then at time 0 value comes to greater than 100 it means at time 0 bond is exercised and value of callable bond = 100 and then compare it with straight bond.Read more
Bond 4 has assumption of no protection period mtlb bond kbhi bhi exercise ho skta h even at time 0. If we calculate value using binomial model then at time 0 value comes to greater than 100 it means at time 0 bond is exercised and value of callable bond = 100 and then compare it with straight bond. Hence option C is the correct answer.
See lessML chart doubt
Complex non linear data.
Complex non linear data.
See lessDerivatives FRA valuation
yes, process thik hai explanation m but last m answer glt hai. answer should be 14539
yes, process thik hai explanation m but last m answer glt hai. answer should be 14539
See lessSwap Fixed – Floating
Dekho vaise toh hum value nikalte h jaise sir n sikhaya h. Mtlb phle value of fixed rate pay side nikalo and then floating se subtract krdo but iss question m alag kya h ki unhone khud 1 saal baad current fixed rate dediya but agar hum ye rate khud calculate krte aaj with given discount factor toh aRead more
Dekho vaise toh hum value nikalte h jaise sir n sikhaya h. Mtlb phle value of fixed rate pay side nikalo and then floating se subtract krdo but iss question m alag kya h ki unhone khud 1 saal baad current fixed rate dediya but agar hum ye rate khud calculate krte aaj with given discount factor toh alag rate aata issliye hum isme dusra method use kerenge.
Ab dusre method m hum phle Wale fixed rate ( at initiation ) ko aaj ke fixed rate se compare kerenge. And difference calculate kerenge which is 3-1 = 2%
Now we compute 2% of 50000000 = 1000000
And we multiply this with addition of discount factor which is 0.990099+0.977876 = 1.96798
And ans is – 1000000*1.96798 = -1967975
And minus issliye aaya kyoki bank as a receiver floating enter Kiya h and rate girr gya toh usko nuksaan hua.
Valuation of Contingent Claims
If you read the statement carefully. Then he is talking about gamma. Because it states that rate of change of option price speed up or down for a given change in price of sn underlying. Its a tricky question.
If you read the statement carefully. Then he is talking about gamma. Because it states that rate of change of option price speed up or down for a given change in price of sn underlying.
Its a tricky question.
SWAP VALUATION
original swap term = 3 1st year complete ho chuka hai. it means we only use 1st and 2nd-year present value factors. for calculating the value of the swap(fixed pay side). we assume this is like a bond with a fixed swap rate. now, calculate the coupon amount which is 0.03*50000000 = 1500000 then we aRead more
original swap term = 3
1st year complete ho chuka hai. it means we only use 1st and 2nd-year present value factors.
for calculating the value of the swap(fixed pay side). we assume this is like a bond with a fixed swap rate.
now, calculate the coupon amount which is 0.03*50000000 = 1500000
then we apply the formula given in the book and the answer comes to 1500000(0.9901+0.97788)+50000000*0.97788 = 51845762.5.
and we know from the floating side value = par which is 50000000.
and now the question asked about value from the bank side that is fixed pay side which is equal to 51845762.5-50000000= 1845762.5.
Hence answer would be option B.