“An FRA has two counterparties, a fixed-rate receiver that is short Euribor and a floating-rate receiver that is long Euribor. The party that is long a 3 × 9 FRA must make a Euribor deposit in three months and earns ...
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The value of a call option on futures is equal to the value of a portfolio with a long bond position and a short futures position. The answer says that the about statement is true. but shouldn’t it be long futures ...
comment 2 is wrong coz at the end F=S and it can’t be -ve only +ve right? Leslie Sheroda oversees both equity and fixed-income portfolios for Quantum. She has asked Parisi to assist her in evaluating the derivatives positions held in ...
In black scholes model – Q1-what is the meaning of upscaling mean? Q2- why we do upscaling? Q3- what are Nd1 and Nd2 and why we multiply them with so and x please help
Tess Mulroney, CFA, has some experience with options and uses them for both speculation and hedging. As she often uses over-the-counter options, Mulroney typically calculates option values herself before taking any positions at dealer prices. Risk-free rates are currently 5% ...
The implied volatility with respect to time to expiration is known as the term structure of volatility, whereas the implied volatility with respect to the exercise price is known as the volatility smile or sometimes skew depending on the particular ...
Just wanted to clarify one doubt regarding derivatives As per my knowledge, returns on underlying follow normal distribution while asset prices follow Lognormal. However, in item sets in the book, they have mentioned at 2 places that returns are not normally distributed. ...
Hi, is bull spreads part of our portion? came across an item set on new page number 160 where there was a sum on this. I couldnt find much about it in our notes and kaplan’s textbook. Could someone help ...
Here in question 1 can we eliminate the pv factors 4 and 5 and then calculate using the new swap rate 1.3% since the question is saying 2 years have passed 1.3% * total of pv factors (from 1 to 3) ...