Tag Info

New answers tagged


Well, I believe this is not the place for this sort of questions, but the moderator will know best. Anyway, if your average does not allow you to get in IBD or consulting forget about getting into a PhD in NYU or Columbia, much harder to get in the PhD programme in finance at a top school than at IBD, PE or consulting.


One must use i := i/12 since compounding is done monthly rather than yearly. Therefore one uses i := 0.065/12 and then you get P = $174,032 which is the correct answer.


In another solution, the answer is based on replication approach. Here, we provide some other approaches for the valuation of the LIBOR rate, \begin{align} L(T_{i-1}; T_{i-1}, T_i) = \frac{1}{\Delta T_i}\left(\frac{1}{P(T_{i-1}, T_i)}-1\right), \end{align} set a $T_{i-1}$ and paid at $T_i$, where $\Delta T_i =T_i-T_{i-1}$. Let $E$ be the expectation ...


Edit for Gordon. First, fix point in time $T_0,...,T_n$ whereas $T_1,...,T_n$ are the coupon dates and $T_0$ is interpreted as the emission date of the bond. At time $T_i$, $i = 1,...,n$ the owner of the bond receives $c_i$.At time $T_n$ the owner receives the face value K.We now go on to compute the price of this bond, and it is obvious that the coupon bond ...


Feynman–Kac Theorem: Assume that $F$ is a solution to the boundary value problem \begin{align} &F_t+\mu(t,x)F_x+\frac{1}{2}\sigma^2(t,x)F_{xx}-rF=0\\ &F(T,x)=\Phi(x), \end{align} Assume furthermore that the process $e^{-r_s}\sigma(s,X_s)F_s$ is in $\mathcal L^2$ where \begin{align} dX_s=\mu(s,x)ds+\sigma(s,x)dW_s, \end{align} then $F$ has the ...


You can calculate Future Value with Matlab as follow FutureVal = fvdisc(Settle, Maturity, Price, Discount, Basis) Settle: Settlement date. Maturity: Exercise date. Price: present value of the security. Discount: Bank discount rate of the security. Basis: Day-count basis of the instrument(actual/360) For example, Settle = '03/15/2015'; Maturity = ...


The time $0$ forward rate from tme $n-1$ to time $n$ is \begin{equation} 1 + i_0(n-1, n) = \dfrac{(1 + s_0(n))^n}{(1+s_0(n-1))^{n-1}} \end{equation} where $s_0(n)$ is the $n$-year spot rate and $i_0(n-1, n)$ is the time $0$ forward rate from time $n-1$ to time $n$. The term structure of interest rates must be increasing to avoid arbitrage opportunities. ...

Top 50 recent answers are included