Derivatives

i had loss .08

i also had 4.6% for the fixed rate… thinking diff tests…

swap spread economic conditions short gold and long futures contract value of option was 4 payments of 30k discounted at present value value of floor was 120 k i think-cant remember exactly i picked the response of series of options - i thingk sell puts and buy longs…

don’t you add storage/carry costs?

dirtydirty Wrote: ------------------------------------------------------- > i also had 4.6% for the fixed rate… thinking > diff tests… me too the 90 d rate was 1.15%

what you did there was solve for the futures price right? i got 14.08 spot of 14.00 net loss .08?

i went back and forth on that 3 cent 8 cent one for a while… do i add the storage costs or not… i can’t remember which one i ended up bubbling in. i think yes short gold long futures i want to say i sold calls and bought puts on the one to get more income. the 4.6 sounds right- it was a basic one- i think i got it whatever the # was.

There was a swap cash flow question. Did anyone else choose $25K? For the mrkt value of swaption I chose $117K after discounting to PV. You add storage costs to FP

the put cashflow was 25,000.

sorry- i meant interest rate floor was 25k derivs was considerably easier this year than last year.

Storage cost had to be included in the questions I made in the CFAI books so I did and answered 0,08 loss. You make me doubt this.

Surely you must include the storage costs when determining the cost - just like you adjust for income (dividends etc.)

i also said 0.08 loss

8 cent loss here

It was .08. The one on the cap/floor was 117,000.

You discount Swap so 117k, but options were at maturity and it was max, 0, 3.5-3.4 something like that so 120k.

iyounus Wrote: ------------------------------------------------------- > You discount Swap so 117k, but options were at > maturity and it was max, 0, 3.5-3.4 something like > that so 120k. same here

bannisja Wrote: ------------------------------------------------------- > i went back and forth on that 3 cent 8 cent one > for a while… do i add the storage costs or > not… i can’t remember which one i ended up > bubbling in. > i think yes short gold long futures > i want to say i sold calls and bought puts on the > one to get more income. > the 4.6 sounds right- it was a basic one- i think > i got it whatever the # was. thought the question said hedge against fall in rates without the risk of a high increase so i put buy calls and sell puts

.08 b/c of the storing costs…and CF of 25000.