Recent content by Paul_G

Hi, I'm just working through Hull to understand how these things are priced etc. I'm not going to trade these instruments, although I'm a believer in knowing the details of how things are calculated. Thanks Paul

Hi, Thanks for your reply but I got an answer from www.bionicturtle.com - it's a quality site! Basically, Hull is examining the cash flows from the 1st coupon payment and so the $4 is that coupon payment. If you do the ALL cash flows again and include the $4 coupon i.e. 37 in total...

Dunno if the XL file got attached....

Hi all, There's something that I just can't make sense of and would appreciate some help. When calulating the conversion factor for a Treasury Bond Future, we round down the maturty date to the nearest 3 months period. So we can have the situation where there is an extra 3 months when we...

Hi guys, If I have a cross gamma report can you explain what it is and how its used. I'm assuming its some kind of gamma correlation with a portfolio with underlying instruments or something like that. It's much appreciated. Thanks in advance, Paul

Hi guys, I'm reading Hull and there's something I can't really nail down w.r.t. artbitrage. F0 - Forward price now So - Spot of the underlying asset R - IRate. The two arb situations are: 1. F0 > S0.Exp(rt). Here, F0 is too expensive, so I sell the Forward, buy the asset 2. F0 <...

That's great, I appreciate it. I do have another question for anyone though. If I have the Par Yield for a bond, what would I use that for? I understand that its the coupon rate that causes the bond to be its par value. Is is simply to indicate simply that the bond it trading above/below...

Hi guys, I'm a technologist so appologies for the simplistic question. I'm examining Bond Duration in John Hull. I understand the concept and the derivations etc. I understand the concepts on the change in yield to the price change and modified duration etc. If I have a bond of duration...