*** SPOILER *** Schweser Vol 1 Exam 3 PM thread, anywhere, another, getting

wilslm

In Question 15.1…to calculate the DD ..where the heck are they getting the Duration and value of asset for the CTD from?
ie. 9.48 and 139.72??
I couldn’t find it anywhere in the vignette or errata..
or maybe i’m just going blind…?
sorry if there’s another thread on this..am in a rush to look it up right now…

ninja1024

yeah..figured that when saw the rest of the answer…but had posted the question just after reading the first two lines…and i was like what?!? did i miss something..
anyway …thanks ya’ll..

Swanand

::edit::
Okay. Im with you now. Just ignore that part of the answer. They’re basically computing the info related to the CTD aspect of the question which is given in the vignette. That is totally irrelevant.
All you need to know is the formula for computing the numerator which is
(duration)(change in Yield)(value)

ba736

I *do* have the book in front of me and question 15.1 in Schweser Exam 3 PM is about the number of contracts to hedge a bond for an 80bps change in IR.

rohitdoshi

I don’t have the book in front of me, but as far as I remember I think that this information was not in the vignette. However, it was not necessary to arrive at the answer since they gave you the CTD value. For some reason they derived the CTD for you in the answer with information that they didn’t provide in the vignette. I might be off because I took this exam a couple weekends ago.