assumes constant volatility, correct?
i put that they assume constant volatility as one of my answers, i think it was right… i feel like cash duration curve was based on something, while empirical valuation was based on history, and that statement looked right… the questions are blending together here on me
Coupon Curve Duration is based on market prices was the answer to one question. The implied volatility assumes constant volatility and is based on an option pricing model was the other question.
so the answer was that it assumes constant volatility was correct?
^^^ I put that answer, but I think it was 2 correct statements so I got it wrong.
no i think the statement had the guy saying that constant volatility wasnt necessary… i think we are right
The other statement was something about an option pricing model. I think that statement was correct.
The question asked which was true - the duration piece also said that coupon duration curve is used with a model not historical prices and this was wrong. Unfortunately this is one of the ones I know I got wrong.
Re: Cash Duration Curve Posted by: CLT2 (IP Logged) [hide posts from this user] Date: June 8, 2009 02:36PM Coupon Curve Duration is based on market prices was the answer to one question. The implied volatility assumes constant volatility and is based on an option pricing model was the other question. … I agree with CLT2 and CFAdreams. These were the correct answers to those two questions.