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Old 10-09-2013, 09:34 AM
saigontrade88 saigontrade88 is offline
Join Date: Oct 2013
Posts: 7

I just passed the Oct-13 exam. Thanks Durlov for the supporting material. They are extremely helpful.
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Old 12-16-2013, 09:19 AM
Gazat's Avatar
Gazat Gazat is offline
Join Date: May 2013
Studying for nothing!
Posts: 954

Thought I'd share my formula summary here. For the LaTeX geeks, I've also added the .tex code in .txt form.
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Originally Posted by Flying J View Post
Sometimes, if I sit next to an attractive woman on public transportation, I pretend she's my gf, but she's not talking to me because we got in a fight.
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Old 01-28-2016, 04:50 PM
kmakino51 kmakino51 is offline
Join Date: Jun 2015
Studying for MAS-1
College: Purdue University
Favorite beer: Milky
Posts: 21

Originally Posted by thinhnham2806 View Post
what do you think about the derivative market questions? were they easy?
If you know your stuff, you should be fine.
They are pretty easy.
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Old 08-22-2019, 11:29 AM
campbellkord campbellkord is offline
Join Date: Jun 2019
Studying for FM
College: The University of the West Indies, Mona
Posts: 1

I've found the formulae here to be almost sufficient for the Aug 2019 exam and just want to add a few here.

Interest Rate Swaps:

PV(Interest without the swap) =PV(Interest with the swap)

Level notional Amount Fixed (Swap) Rate =

(P(t-1) - P(n)) / (P(t) + P(t+1) + … + P(n))

Where P(t) = Price of a zero coupon bond maturing for $1 in t years which = (1+spot rate for t year investment)^ t
Note if swap begins in year 1 (not deferred) then P(t-1) = P(0) = 1

McCaulay Price Change approximation (2nd order)

Approximation for price of asset at interest rate i, P(i) around a specific i = i(0), McCaulay Duration D and McCaulay Convexity C

P(i) ~= P( i(0) )* ( (1+i(0))/(1+i) )^D * (1 + ( (i - i(0))/ (1 +i(0)) )^2 * (C - D^2)/2 )

1st Order:
P(i) ~= P( i(0) )* ( (1+i(0))/(1+i) )^D

Last edited by campbellkord; 08-22-2019 at 11:31 AM.. Reason: Correction and change in notation
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Old 10-11-2019, 05:50 PM
wilsonusopen wilsonusopen is offline
Join Date: Sep 2019
Posts: 7

hey guys - when given a liability and two assets (one before and one after the liability), i found the shortcut method very helpful.

w = (t2 - tL)/(t2 - t1)

t1 = shorter bond duration
t2 = longer bond duration
tL = liability duration
w = shorter bond's weight
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Old 05-31-2020, 01:23 PM's Avatar is offline
Join Date: Aug 2015
Location: North America
Studying for STAM
College: BMath[H]
Posts: 18

Web Resources for Actuarial Exam FM:
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