2012 morning essay portion, question #7

CFA Level III
#1

I don’t think part D is covered in this year’s curriculum. I just want to double check with everyone.

part D is asking us to compute the duration of a call option on bonds. I read the CFA materials and don’t recall seeing this.

Thanks.

#2

present sir!

#3

???

#4

it is very much there in the book.

duration option = duration underlying * delta option * (Price Underlying/Price Option)

Pg 113, book 4

#5

Thanks cpk

#6

Hiding in plain sight.