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QFI Core Exam Old Advanced Portfolio Management Forum

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  #51  
Old 05-08-2019, 11:00 AM
reelsteel reelsteel is offline
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Quote:
Originally Posted by Jamesexam11 View Post
I think most candidate could muster a few points from the Vanna and Volga question. I think the most difficult question was the 1 year coupon bond vs 6 month coupon bond. The second half of that question shows the price of the 1 year coupon bond after half year and ask us to compare the P&L vs the half year coupon bond.
I think all you had to do was see that the 1 yr bond was mispriced, assuming the model is correct, buy/sell that bond and use the cash to invest in the 6 mo bond. after 6 mo you redeem the 6 mo bond, pay the 1 yr bond's coupon, and reinvest the difference in the 6 mo bond again. Step 6 ???? Step 7 $$$$

I have to get off of AO though cause someone's gonna tell me that's wrong and I'll be sad.

Edit 1: I remember it saying "propose a fair value trading strategy" and really hoped that didn't pertain to something specific that I didn't know about. I guessed that the "fair value" was what the model came up with, so propose a strategy based on that.
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Last edited by reelsteel; 05-08-2019 at 11:03 AM..
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  #52  
Old 05-18-2019, 11:10 AM
Jamesexam11 Jamesexam11 is offline
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The exam questions are released in the SOA website
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  #53  
Old 05-18-2019, 12:01 PM
Jamesexam11 Jamesexam11 is offline
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I got a 59 after self score assuming no calculation errors. 33/60 in the morning and 26/40 in the afternoon.
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  #54  
Old 05-23-2019, 05:00 PM
nitro22ko nitro22ko is offline
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I think I got around 50-55; maybe a tad bit more if the graders are feeling generous. I already forgot how to solve most of these questions which is not good if I fail...
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  #55  
Old Yesterday, 09:18 AM
moonangel moonangel is offline
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Quote:
Originally Posted by Jamesexam11 View Post
I got a 59 after self score assuming no calculation errors. 33/60 in the morning and 26/40 in the afternoon.
whats the usual estimate score for both morning and afternoon if you wish to pass?
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