If I consider only curvature key rate duration of curvature should be -1-10 / ( 300) (0.01) = -3.6667 as -1 loss for 1 yr zcb and -10 loss for 10yr zcb as yields have risen cfai has calculated it as positive 3.6667
SSEI QForum Latest Questions
Can a random continous dependent variable have residual which are randomly distributed or can residuals be correlated as well?
Can any one explain how ir is not affectèed by aggressiveness of active weights in a unconstrained portfolio? also wht is unconstrained portfolio
Question- based in exhibit 1, the active risk for portfolio 2 is explained by surprises in – a .gdp b.consumer spending c.all 4 factors answer is c … can anyone give the explaination why? my answer was gdp because the portfolio 2 is only taking gdp factor ...
Strike price x = 100 actual stock price = 130 We have purchased a call option volatility is lets say 20% Scenario A) time to expiry 30 days volatility increases to 40% , What happens to the itm option now stock price can go to 182 ...
The expiration of 1st underlying corresponds to expiration of 2nd option i.e lets say we buy a option on December, the option expires on march , that is the time when the actual fra starts for a 3 month period that ...
Can anyone explain how cbs regime earns seigniorage?
Why would a CDS buyer accept a cheaper delivery from a CDS seller ? What is the rationale ? like every investor why would a cds buyer accept a lower payment?
Can anyone explain this using a timeline please ?
Why should tobin’s q return to 1 ? can anyone explain the note 📝 thing esp the economic rents or profits part ?