[QFI Track] Scenario Modeling Group

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Viewing 16 posts - 1 through 16 (of 34 total)
  • Author
    Posts
  • #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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