Fixed Income Scheweser Notes

CFA Level III Fixed Income
#1

Guys

Anybody using shweser notes Book 3 page 207, how is the present value of 1.5 in one year at 0.02 annual rate 1.442, isn’t it 1.5/1.02 = 1.4705. I dont see how they came up with these present values.

Also pages 103, 104. If anyone could explain res-ampled efficient frontier and blacklitterman in easier term would be great

Appreciate your help thanks

#2

1.5/1.02^2

#3

hi cpk123

its a coupon in 1 year and says annual rate 0.02, why do u power it to 2 ( 1.5/1.02^2)? shouldn’t it be 1.5/1.02?

#4

hi guys

if i have assets and liabilities with the same duration, and time passes and yields change, why do i need to rebalance? wont the effects on duration be the same on assets and the liability?

thanks

#5

Your name says it all.

Convexity.

#6

HAHAHA

#7

Ha ha ha ha. That had to be scripted

#8

We don’t need no stinkin’ scripts.

wink