[QFI Track] Scenario Modeling Group

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Viewing 16 posts - 1 through 16 (of 38 total)
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  • #6174
    satt
    Participant

      I have created a google group for this module. If you are working on it and willing to join in, please leave your email.

      #7142
      Meir Wieder
      Participant

        ywieder1234@gmail.com

        I’m up to the EOM exercises, but having some trouble.  Happy to join the group.

        #7646
        SYY
        Participant

          newidentititi@gmail.com

          Hi I’ve just started on the module, please add me:)

          #8572
          Ting Cai
          Participant

            juyouhudehu@126.com

            working on case 4 and encounter the following error:

            Error in if (!all(lower[isfixed] <= fixed[isfixed] & fixed[isfixed] <= :
            missing value where TRUE/FALSE needed

            #8616
            T.Nak
            Participant

              Please add me:

              t.nak2020@gmail.com

               

              Thanks!

              #8856
              Ace
              Participant

                Please add me.
                ace.kingn0419@gmail.com

                #8863
                Jerome Ouedraogo
                Participant

                  please add me:

                  j.oued03@gmail.com

                  #8868
                  San Mao
                  Participant

                    Please add me. gtactuary@gmail.com

                    #8879
                    sacaha
                    Participant

                      Please add me

                      sacaha2020@gmail.com

                      #8880
                      Julia
                      Participant

                        please add me

                        lee.yunji.hk@gmail.com

                        #8894
                        brenyomj
                        Participant

                          Please add:

                          brenyo79@hotmail.com

                          #8909
                          twentee
                          Participant

                            hi, could you add me as well  ttian.vip@gmail.com

                            #8920
                            Mark Chan
                            Participant

                              Hi, please add me as well
                              nytmail001@gmail.com
                              Thanks

                              #8943
                              sacaha
                              Participant

                                I sent a google invite to everyone on this list.  Check your spam folders for it, just in case.

                                #8978
                                Sean Bauer
                                Participant

                                  Please add me too.

                                  seanboy72@yahoo.com

                                  #9023
                                  unspokentruth
                                  Participant

                                    Hi all, I am at Section 5 Deflators – Hands On 2 right now where I’m stuck as I am unable to reconcile my real-world assumption Call price against that in the module. What I calculated was 336.93 whereas the module result was 321.1. I was able to get the same risk-neutral result, so I’m pretty sure the problem is not due to the code for the function… Does anyone face same issue as me? Below are my codes. Appreciate any help on this. Thanks.

                                    —————————-

                                    `{r input data}
                                    s0 = 2500
                                    mu = 0.10 #real-world
                                    r = 0.05
                                    sigma = .15 #real-world
                                    sigma.rn <- 0.2 #risk-neutral
                                    T = 1
                                    N = 500
                                    K = 2500
                                    M <- T * 12
                                    t <- 1/12
                                    Call.T = 5 #year
                                    d=0
                                    `

                                    ## Generate N scenarios under real-world assumption
                                    Call the equityModelingRW.LN.inputSamples function to generate N economic scenarios under real-world assumption
                                    ` {r generate N economic scenarios using RW assumption}
                                    set.seed(1)
                                    sampleValues.rw = matrix(rnorm((M*N), m=(mu*t), sd=(sigma*sqrt(t))), M, N)
                                    St.rw = equityModelingRW.LN.inputSamples(s0, T, N, sampleValues.rw)
                                    `

                                    ## Estimate Call prices under  real-world assumptions
                                    ` {r calculate estimated Call prices}
                                    callPrices.rw <- CallPriceCalculation(St.rw, K, r, T, N)
                                    CallPriceEstimates(callPrices.rw)

                                    `

                                    —————————–

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