View Full Version : 2006 8v, q19 and q7

05-02-2007, 12:20 AM
19.a could be answered from Hull's book about numerical procedure etc, the same for the 19.c

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

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:

05-02-2007, 04:18 PM
19b -- Hull chapter 17, section 17.6, page 414. Read the "Generating the Random Samples from Normal Distributions" bit, it's all on the same page. 17.6 is on APM.