hw0799

05-01-2007, 11:20 PM

19.a could be answered from Hull's book about numerical procedure etc, the same for the 19.c

19.b

it looks not doable. Could not recall any where in APM , use correlation , combine with simulated normal random number to calculate portfolio return .

q7:

need to convert continuous LIBOR rate: 5%, to semi-annual one, which is 5.063%. this is the forward rate will be used in the formula.

because the question gives: LIBOR(continuous compounding), and later on , said that LIBOR yield curve is flat at 5%....

Thanks. :popcorn:

19.b

it looks not doable. Could not recall any where in APM , use correlation , combine with simulated normal random number to calculate portfolio return .

q7:

need to convert continuous LIBOR rate: 5%, to semi-annual one, which is 5.063%. this is the forward rate will be used in the formula.

because the question gives: LIBOR(continuous compounding), and later on , said that LIBOR yield curve is flat at 5%....

Thanks. :popcorn: