1) In case of no leverage , if entire mandate amount ($80 million) is deposited to earn the 3-month LIBOR and to put margin money on TRS if borrowing was made then why author said NO leverage ? is it not an improper comparison because for ETF he used NO leverage and for Swap he used leverage. This iRead more
1) In case of no leverage , if entire mandate amount ($80 million) is deposited to earn the 3-month LIBOR and to put margin money on TRS if borrowing was made then why author said NO leverage ? is it not an improper comparison because for ETF he used NO leverage and for Swap he used leverage. This is something which I found confusing
2) Point no 2 i.e. leverage option, explained by you is now clear to me
Yes , you're right. I was under impression that since demand for ITM call would be higher its implied volatility would also be higher (on same lines with that of OTM put). But you pointed out correctly that since its Deep ITM call , its implied volatility would not be that high. Thanks!!
Yes , you’re right. I was under impression that since demand for ITM call would be higher its implied volatility would also be higher (on same lines with that of OTM put). But you pointed out correctly that since its Deep ITM call , its implied volatility would not be that high.
Thanks!!
Client is going to retire in 9 yrs. At his retirement he"ll have 2 options: 1) receive lumpsum of 400000 @ t=9 2) receive 40000 pa starting from t=9 till t=28 Now we want to find rate i.e I/Y that will make him indifferent i.e. PV of both options @ t=9 should be same. Now since under option 1 clientRead more
Client is going to retire in 9 yrs. At his retirement he”ll have 2 options:
1) receive lumpsum of 400000 @ t=9
2) receive 40000 pa starting from t=9 till t=28
Now we want to find rate i.e I/Y that will make him indifferent i.e. PV of both options @ t=9 should be same. Now since under option 1 client will receive 400000 @ t=9 , its PV @ t=9 would be 400000. Hence, under option 2 we want to find I/Y which will give us PV of 400000.
Now the trickiest part of this sum is its ‘Annuity due’ type i.e first payment (of 40000) out of 20 payments is due on t=9. So basically if we subtract that payment from 400000, we should get 360000 from remaining 19 payments to remain indifferent between option 1 & 2.
So PV=-360000, PMT=40000, N=19, FV=0, CPT I/Y = ??….8.919% is Annual rate that would client want to earn to remain indifferent.
Yes,2% in 2 years so 1% in one year. But if you check highlighted part of the answer , 1% is again divided by 2. I didn't understand the logic behind dividing 1 year return again by 2. ? Again if you check later part of the answer for calculating next five years return author has done it rightly asRead more
Yes,2% in 2 years so 1% in one year. But if you check highlighted part of the answer , 1% is again divided by 2. I didn’t understand the logic behind dividing 1 year return again by 2. ?
Again if you check later part of the answer for calculating next five years return author has done it rightly as 6+4=10% but there again he took first 2 years return as 1% . Which I found very confusing.
Reading 28: Case study in PM:Institutional
1) In case of no leverage , if entire mandate amount ($80 million) is deposited to earn the 3-month LIBOR and to put margin money on TRS if borrowing was made then why author said NO leverage ? is it not an improper comparison because for ETF he used NO leverage and for Swap he used leverage. This iRead more
1) In case of no leverage , if entire mandate amount ($80 million) is deposited to earn the 3-month LIBOR and to put margin money on TRS if borrowing was made then why author said NO leverage ? is it not an improper comparison because for ETF he used NO leverage and for Swap he used leverage. This is something which I found confusing
2) Point no 2 i.e. leverage option, explained by you is now clear to me
Thanks
See lessTopics in Pvt Wealth mangement eg 5 (Tax And City) (Reading 22)
Thanks !
Thanks !
See lessStrong mismatch in implied volatilities of Deep OTM put and Deep ITM call
Yes , you're right. I was under impression that since demand for ITM call would be higher its implied volatility would also be higher (on same lines with that of OTM put). But you pointed out correctly that since its Deep ITM call , its implied volatility would not be that high. Thanks!!
Yes , you’re right. I was under impression that since demand for ITM call would be higher its implied volatility would also be higher (on same lines with that of OTM put). But you pointed out correctly that since its Deep ITM call , its implied volatility would not be that high.
See lessThanks!!
Implied volatility of Calendar spread
Thanks Sir !! This was helpful 👍👍
Thanks Sir !! This was helpful 👍👍
See lessLaptop software trouble
Problem got solved.
Problem got solved.
See lessSoftware error unable to login
I'm getting this error after the updation of App from given link
I’m getting this error after the updation of App from given link
See lessCalculation of management fees
Mgmt fee = 2% of 642mn = 12.84mn Hurdle rate value = 610 *1.04= 634.4 Hence, incentive fee = 20% of (642-634.4) = 1.52 Year end value after fees = 642-12.84-1.52=627.64 Hence, return % =[( 627.64-583.1) ÷ 583.1 ] *100 = 7.64%
Mgmt fee = 2% of 642mn = 12.84mn
Hurdle rate value = 610 *1.04= 634.4
Hence, incentive fee = 20% of (642-634.4) = 1.52
Year end value after fees = 642-12.84-1.52=627.64
Hence, return % =[( 627.64-583.1) ÷ 583.1 ] *100 = 7.64%
See lessTVM
Client is going to retire in 9 yrs. At his retirement he"ll have 2 options: 1) receive lumpsum of 400000 @ t=9 2) receive 40000 pa starting from t=9 till t=28 Now we want to find rate i.e I/Y that will make him indifferent i.e. PV of both options @ t=9 should be same. Now since under option 1 clientRead more
Client is going to retire in 9 yrs. At his retirement he”ll have 2 options:
1) receive lumpsum of 400000 @ t=9
2) receive 40000 pa starting from t=9 till t=28
Now we want to find rate i.e I/Y that will make him indifferent i.e. PV of both options @ t=9 should be same. Now since under option 1 client will receive 400000 @ t=9 , its PV @ t=9 would be 400000. Hence, under option 2 we want to find I/Y which will give us PV of 400000.
Now the trickiest part of this sum is its ‘Annuity due’ type i.e first payment (of 40000) out of 20 payments is due on t=9. So basically if we subtract that payment from 400000, we should get 360000 from remaining 19 payments to remain indifferent between option 1 & 2.
Mistake in CFA L3 eg ?
Yes,2% in 2 years so 1% in one year. But if you check highlighted part of the answer , 1% is again divided by 2. I didn't understand the logic behind dividing 1 year return again by 2. ? Again if you check later part of the answer for calculating next five years return author has done it rightly asRead more
Yes,2% in 2 years so 1% in one year. But if you check highlighted part of the answer , 1% is again divided by 2. I didn’t understand the logic behind dividing 1 year return again by 2. ?
Again if you check later part of the answer for calculating next five years return author has done it rightly as 6+4=10% but there again he took first 2 years return as 1% . Which I found very confusing.
See lessFor finding weights with help of allegation whether to use maturity or duration ?
Ok. But is there any differentiating criteria as to when duration can be used and when maturity can be used for doing allegation ?
Ok. But is there any differentiating criteria as to when duration can be used and when maturity can be used for doing allegation ?
See less