At 21:00 believe the calculation is being done as if the forward prices 130 and 132 are underlying prices. The way I read the question, I am instead taking the $2 difference at time T and discounting to time t. I ended up with 1.94 as my value of the long position
@1:03:03 would be useful to know where the 0.8163 came from to convert USD to EUR notional, given the calculation is shown nowhere and the spot exchange rate was never given...
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@45:32, why do we calculate future price as time=120 instead of t=200 which is the expiry date of the contract? its just a change in time thing, so the answer can be found by adjusting the time value of the result, but on a test this would have to be clearly stated what future time we are pricing at... why would we price at t=120 when that is neither today's date to PV the price, or the contract date t=200 when the contract expires.
You keep switching between futures and forwards. Wrong. You keep referring to the contract price instead of the spot price. Wrong. It’s infuriating having to correct you all the time.
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At 21:00 believe the calculation is being done as if the forward prices 130 and 132 are underlying prices.
The way I read the question, I am instead taking the $2 difference at time T and discounting to time t. I ended up with 1.94 as my value of the long position
shouldn't you use 115 in the example @ 19:00
Had a similar thought.
1:03:49 missing a [ in formula
very helpful video, helps me a lot! thanks
@1:03:03 would be useful to know where the 0.8163 came from to convert USD to EUR notional, given the calculation is shown nowhere and the spot exchange rate was never given...
Thank you Professor!
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Thank you so much for all your videos Prof! Do you know when Reading 35/Alternative Investments videos will be posted?
At 45.25 the question states spot price 100 whereas taken as 110 in the solution for computation of FP
Can you expand on Jibor a bit more please?
I believe the counterparties are reversed @ 34:35, won't a fixed receiver benefit when the market price is below the forward price?
Agreed
interest rate swaps: is the swap rate the same as the par yield?
@45:32, why do we calculate future price as time=120 instead of t=200 which is the expiry date of the contract? its just a change in time thing, so the answer can be found by adjusting the time value of the result, but on a test this would have to be clearly stated what future time we are pricing at... why would we price at t=120 when that is neither today's date to PV the price, or the contract date t=200 when the contract expires.
very good! thanks
Hardest module in the curriculum
how do you determine the floating party going to lose!
sir why is you annualizing the fix swap rate is not it annualized in DF?
DF is the actual change in value used for computation. Annualizing is a notation convention
34:51 your slide is wrong
which part is wrong?
The wording of the question is poor at 19mins. You refer to the “contract” when you should actually be saying “the underlying”
You keep switching between futures and forwards. Wrong. You keep referring to the contract price instead of the spot price. Wrong. It’s infuriating having to correct you all the time.