is the 75 cent one an amount that needed to be added to .10 or .15?
I’m 4/6, payer swap (i think) and didn’t discount the pay off, waste of a couple I should have got.
how did 8 cents come? should we add the convenient yield and substract storage cost and any benefit? jpm351 Wrote: ------------------------------------------------------- > the 8 cents and 75 cents are different question, > no?
Wasn’t the first question one that asked you to calculate price of the swap?
hw0799 Wrote: ------------------------------------------------------- > how did 8 cents come? > should we add the convenient yield and substract > storage cost and any benefit? > jpm351 Wrote: > -------------------------------------------------- > ----- > > the 8 cents and 75 cents are different > question, > > no? add cost and minus c/yield
one was a future price on the currency or index, don’t remember. the backwardation questions asked what the NC would have to be for the forward to exhibit backwardation. my memory of the questions is fading though
Does anyone remember the other derivs itemset?
btw, on the puts/calls—he was already long the floor so wouldn’t need puts. sell a cap would offset his cost of the floor and he didn’t think rates were rising (where he would have to pay out)
he wanted to protect his posiiton and also make money if rates rose
yes, but he already had a floor which protected his downside on his 100mm FRN. he wanted to hedge the cost of the floor in the vignette.
>btw, on the puts/calls—he was already long the floor so wouldn’t need puts. sell a cap would offset his cost of the floor and he didn’t think rates were rising (where he would have to pay out) ___ yes but I read to question to ask for an alternative to the original strategy (not taking into consideration his existing position). Went with puts/calls.
i agree, i did not put put/call. i do forget my answer though. i am drawing blanks on derivatives, was pretty spent by that time, plus i skipped derivatives to go to PM because it WAS SUPPOSED a strong area for me - so i was very upset when i arrived at derivatives
BondClipper Wrote: ------------------------------------------------------- > >btw, on the puts/calls—he was already long the > floor so wouldn’t need puts. sell a cap would > offset his cost of the floor and he didn’t think > rates were rising (where he would have to pay > out) > ___ > > yes but I read to question to ask for an > alternative to the original strategy (not taking > into consideration his existing position). Went > with puts/calls. I read the question that way as well. Originally I had put sell the cap, but changed it after rereading the Q.
AM: 1) 2) 3) -0.8 4) 0.75 backwardian 5) 6) PM: 1) swap rate 4.6% 2) buy rec swaption 3) 117k 4) 25k 5) buy p/sell c 6) anybody remember more?
there was a currency in the AM I think. And the 4.XX where they asked to px the forward. And the Future>Forward if underlying + related to Interest Rts
ok, maybe i read the question wrong. time was a tickin’ at that time. but i could have sworn it said “to hedge the cost of his position” with the key word being cost.
Is there a q about risk neutral/risk averse? Saw a thread about it…seems that does not belong to 5050…
There was a question regarding the difference between using the swap vs a government security… Something like least likely reason to use a swap… more regulation than government…
There was a question on risk averse/risk neutral… I put it down as risk neutral… anyone else remember this?
still missing 2 everyone. this is for 5050/5151. > AM: > 1) > 2) ‘risk neutral’ when fut=fwd > 3) $ fwd discount 2.55% > 4) future > fwd when pos corr to int > 5) -0.8 > 6) 0.75 backwardian > > PM: > 1) swap rate 4.6% > 2) buy rec swaption > 3) 117k > 4) 25k > 5) buy p/sell c > 6) anybody remember more? I’m not sure if pm #5 is in this swap set or not.