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  #11  
Old 07-26-2007, 01:20 PM
red red is offline
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So we must be getting closer - I match your d1. my d2 = -.2136. Do you get that? My stock part of the hedge = -339.40 and bond = 320.82, so initial hedge cost = -18.58.
OK - so I found an error on my end, now I get d2=.10106, stock hedge = -339.40, bond = 407.76, inital hedge cost = 68.36 (which matches yours!)

But my npv = 54.49.

My second month numbers are d1= -.12238, d2=-.37158, stock hedge = -459, bond = 574, hedge cost = 114.94
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  #12  
Old 07-26-2007, 04:50 PM
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Something like 30 people have completed this already!

Bruce
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  #13  
Old 07-26-2007, 04:55 PM
Roy Hobbs Roy Hobbs is offline
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Something like 30 people have completed this already!

Bruce
Great. How is the progress on the other FSA modules coming? Are they still on track to be released on time?

I only ask as a result of going through the FAP release.

Thanks.
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  #14  
Old 07-26-2007, 05:58 PM
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Everything is close to schedule right now.

Bruce
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  #15  
Old 07-26-2007, 07:49 PM
leathercost leathercost is offline
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OK - so I found an error on my end, now I get d2=.10106, stock hedge = -339.40, bond = 407.76, inital hedge cost = 68.36 (which matches yours!)

But my npv = 54.49.

My second month numbers are d1= -.12238, d2=-.37158, stock hedge = -459, bond = 574, hedge cost = 114.94
d1 for second month is 0.3739 with denominator around 0.2492 and ln term in the nominator around -0.0529.
hedge cost for second month is 67.34.
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  #16  
Old 07-27-2007, 11:38 AM
sweetie sweetie is offline
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Something like 30 people have completed this already!

Bruce
I feel stupid! I spent most of my free time reading this module & still in section 4!
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  #17  
Old 07-27-2007, 01:44 PM
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I feel stupid! I spent most of my free time reading this module & still in section 4!
Are you me?

I want to be done within the next two weeks. Because then there will be vacation, and a whole bunch of other distractions.
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  #18  
Old 07-27-2007, 04:15 PM
red red is offline
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d1 for second month is 0.3739 with denominator around 0.2492 and ln term in the nominator around -0.0529.
hedge cost for second month is 67.34.
I don't follow your numbers. Is the nominator = -.0529? Or do you mean the nominator = ln(-0.0529) which doesn't make sense either.
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  #19  
Old 07-27-2007, 05:51 PM
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I feel stupid! I spent most of my free time reading this module & still in section 4!
How many pages of reading are in this module?
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  #20  
Old 07-27-2007, 07:40 PM
leathercost leathercost is offline
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I don't follow your numbers. Is the nominator = -.0529? Or do you mean the nominator = ln(-0.0529) which doesn't make sense either.
ln(S/G) = -0.0529
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