Oops… A
C - I got this wrong as I missed it is the writer. Dwight has a good explanation. Here. A swap spread depends primarily on the: A) shape of the reference rate yield curve. B) general level of credit risk in the overall economy. C) credit of the parties involved in the swap. D) maturity of the swap.
Try to keep up Which of the following methods is NOT used for estimating volatility inputs for the Black-Scholes model? A) Using long term historical data. B) Models of changing volatility. C) Using the most current historical data. D) Using exponentially weighted historical data.
“A swap spread depends primarily on the: A) shape of the reference rate yield curve. B) general level of credit risk in the overall economy. C) credit of the parties involved in the swap. D) maturity of the swap.” B
Uh oh I’m out of my depth here. I’ll say A since I believe stale data is a factor in calculating volatility for BSM. Volatility can change very quickly.
I say A and A
i’m going back and forth b/t A and B here… like B better. this is what i need to do for like 2 hours straight- derivatives rapid fire.
thepinkman Wrote: ------------------------------------------------------- > C - I got this wrong as I missed it is the writer. > Dwight has a good explanation. > > Here. > > A swap spread depends primarily on the: > > A) shape of the reference rate yield curve. > > B) general level of credit risk in the overall > economy. > > C) credit of the parties involved in the swap. > > D) maturity of the swap. B. I think the other 4 things are factors but B would probably be the most impactful one.
Answer B and B. I really don’t think the 2nd will be tested. We’ll call this next one question 5) Regarding deep in-the-money options on forwards, it is: A) never worthwhile to exercise puts or calls early. B) sometimes worthwhile to exercise calls early but not puts. C) sometimes worthwhile to exercise puts early but not calls. D) sometimes worthwhile to exercise both calls and puts early.
I think I remember missing a question like this. I believe the key is that forwards cannot be exercised early as they are private contracts, so A would be the answer? The same would definitely not be true for futures.
Dwight’s on FIRE as they used to say in NBA Jam.
Thanks for the questions sir. I’ll hit you back: Consider two assets with identical storage costs. For the asset with the greater convenience yield, the percentage difference between the no-arbitrage price and the spot price will be: A) greater at contract initiation but the same at expiration. B) lower any time prior to expiration. C) the same throughout the life of the contract. D) greater throughout the term of the contract.
A?
dunno
Your answer: A was incorrect. The correct answer was B) lower any time prior to expiration. The net costs of holding an asset are Net Costs = Storage Costs – Convenience Yield. When the convenience yield is higher, net costs of carrying (storing) the asset are lower, and the futures price will be lower. The difference between the spot price and the futures price is zero at expiration for any asset. I forgot what convenience yield was. It’s the value of having an asset available for use without having to go out and purchase it on the market. That is why convenience yield reduces net costs of holding an asset.
Which of the following best describes an interest rate cap? An interest rate cap is a package or portfolio of interest rate options that provide a positive payoff to the buyer if the: A) reference rate is below the strike rate. B) T-Bond futures exceeds the strike price. C) T-Bond futures is below the strike price. D) reference rate exceeds the strike rate.
D
D?
D as in DUDE I FIGURED OUT 3 SWAPS QUESTIONS TONIGHT!
D says this Pinkman.