Reading 61, page 266, Example 4A, 4B also Question #1A, #1B page 295 - - - - - – - - - - - - - - - - I spent basically three hours on these two questions. They’re brutal! Anybody else having trouble with these questions?
No trouble, Just had to wrap my head around pricing the two different legs of the SWAP. Re-read it a bunch of times (along with pages 262-264) and eventually this will be second nature. Once you get comfortable with this, it’s much easier to understand pricing currency and equity SWAPs.
Make sure you don’t move on until you have a solid understanding. Derivatives give most L2 candidates a hard time. Make no mistake though, they WILL be tested on the exam. These study sessions need to be reread multiple times and DO take longer to master than others. Below are a few good threads to help you along: FRAs - http://www.analystforum.com/phorums/read.php?12,754042,754696#msg-754696 Swaps - http://www.analystforum.com/phorums/read.php?12,749056,750229#msg-750229 Currency Derivatives - http://www.analystforum.com/phorums/read.php?12,1067592,1068337#msg-1068337 All about Derivatives - http://www.analystforum.com/phorums/read.php?12,960221