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View Full Version : 2006 8v, q19 and q7


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:

campbell
05-02-2007, 03:18 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.