i believe i had 12.3 and 7.6
I remember 12.3 and 7.6… It was straightforward
i ended up getting 2.83 and i checked that over like 3 times, so i dunno
12.3 and…
LotusGuy Wrote: ------------------------------------------------------- > buy receiver swaption. payer swaption is > incorrect. > > you want to receive the fixed rate, which can be > acheived through a receiver swaption. buy payer swaption. they had a fixed rate liability. Switched it to floating because they expected rates to go down. To terminate and go back to paying fixed you need a payer (put) swaption. No doubt about that one.
comp_sci_kid Wrote: ------------------------------------------------------- > i didnt even remember the formula… used manual > calc and got it right… Agreed. I think the formula is confusing. I take their total position including borrowed money times return on investment and subtract out their loan repayment. Take that net number divided by the amount of equity they have, not the total position including borrowed money. I have no clue what I came up with but the answer was there. I either fell into one of their traps or got it right.
comp_sci_kid Wrote: ------------------------------------------------------- > i didnt even remember the formula… used manual > calc and got it right… Funny - I went manual on this one too. I don’t think the formula would have been any easier, because you’d have to do an extra step to get the overall return on the invested position (original + the 500M one).
mo34 Wrote: ------------------------------------------------------- > LotusGuy Wrote: > -------------------------------------------------- > ----- > > buy receiver swaption. payer swaption is > > incorrect. > > > > you want to receive the fixed rate, which can > be > > acheived through a receiver swaption. > > > buy payer swaption. > > they had a fixed rate liability. > > Switched it to floating because they expected > rates to go down. > > To terminate and go back to paying fixed you need > a payer (put) swaption. No doubt about that one. was this the bank question where they had loans out? I thought they had extended this loan? memory is fuzzy
mo34 Wrote: ------------------------------------------------------- > I remember 12.3 and 7.6… It was straightforward it wasn’t as straightforward because it depended on how many decimals you put. If you had 2 decimals it was 12.3, if you had many it was 12.8.
former trader Wrote: ------------------------------------------------------- > mo34 Wrote: > -------------------------------------------------- > ----- > > I remember 12.3 and 7.6… It was > straightforward > > > it wasn’t as straightforward because it depended > on how many decimals you put. If you had 2 > decimals it was 12.3, if you had many it was 12.8. i think i went to 4 and it was like 12.38
are you sure ? I doubt that they would test your ability to round numbers at level 3 
mo34 Wrote: ------------------------------------------------------- > are you sure ? I doubt that they would test your > ability to round numbers at level 3 i’m serious. i did the calculation at least 4 times. it was so simple yet i was getting 2 different answers based on my rounding.
so for the GIPS is the answer A? with two annual returns? just stepped out and missed a lot of discussion
they want to terminate the receive fix and pay floating swap, it should buy pay fix rate swaption
oskigo Wrote: ------------------------------------------------------- > former trader Wrote: > -------------------------------------------------- > ----- > > mo34 Wrote: > > > -------------------------------------------------- > > > ----- > > > I remember 12.3 and 7.6… It was > > straightforward > > > > > > it wasn’t as straightforward because it > depended > > on how many decimals you put. If you had 2 > > decimals it was 12.3, if you had many it was > 12.8. > > > i think i went to 4 and it was like 12.38 I think you guys are missing the point of what was being tested, it was not rounding. The difference was due to monthly returns and annual returns. If you do a straightforward year beginning to year end calculation you get the first set of returns, 12.3 and … However if you actually calculate the quarterly returns and divide by 4, then you get the second set of numbers. Now remember that GIPS post 2006 is monthly returns, not yearly. The question asked “closest” to. The monthly returns will be closer to the quarterly returns, hence the second set of numbers. This is a property of geometric returns, that the length of period over which returns are calculated matters. For example, suppose you have +10% returns for 6 months, and -10% returns for 6 months. What is your average monthly return? It is 0%. What is your yearly return? 0.9^6 * 1.1^6 - 1 = -5.85% J
Anyone remember the managed futures fund questions - something about earning a premium for from counterparty? Fact I can’'t remember it may have some to do with having no idea what the answer was…
I thought the appropriate thing to do is to buy a credit spread option, there was no triggering event, just the risk of spreads wideing. I forgot if the concerned party had a time horizon in mind because that might change things.
former trader Wrote: ------------------------------------------------------- > mo34 Wrote: > -------------------------------------------------- > ----- > > are you sure ? I doubt that they would test > your > > ability to round numbers at level 3 > > > i’m serious. i did the calculation at least 4 > times. it was so simple yet i was getting 2 > different answers based on my rounding. how did you do that? let’s say the numbers are 59 60 64 60 61
if there were no cashflow in an out, just the last 4Q06/4Q05 right?
no external cashflows confirmed