Regarding Step 1 of the two bond hedge process, since they used Monte Carlo simulation to obtain these prices, is it safe to assume we will be given these values if CFAI is cruel enough to give us a question like this on exam day? Can we even obtain these prices on our own, I haven’t been able to arrive at the numbers they have listed.
I believe the pricing information for the 2 bonds have to be given on the exam. Otherwise, there is simply not enough time to calculat all those information on the exam alloted time.