Mock 2013 Afternoon Derivs Question - Spoiler

C

cleverCFA

New member
Joined
Jun 18, 2026
Messages
0
Reaction score
0
Afternoon derivs question number 10.
It says that the company “will have an option to purchase 50% of the oil terminal for LVL45.92M (equivalent to EUR32 Million) at any time.
So my understanding is that the strike is equal to 32M. So then why does the binomial tree in the answer use a 30M strike to calculate expected payoffs? The top of the tree has a S++ of 39.675 and their calculated c++ is 9.675 which implies to me that they are using a 30M strike.
Is this derivs section just filled with errors? This and the lack of frequency info on the swap question. I feel like punching whoever wrote it in the face. If you’re going to write a ridiculously hard question, at least get it right.
 
this is just nuts. I had downloaded the errata about 3 weeks ago and it contained an update for that very question. And now there’s been another amendment to that same errata. Unbelievable.
Thanks by the way LinaK.
 
that have been picked up, just the stuff in the errata.
I’m convinced they should have provided a key piece of info for question 8+9 on afternoon mock as well. It’s not in the errata though.
 
Question no 7. Why use semiannual discount?
Did i miss something in the vignette? I read couple of times no mention. I assumed quarterly and pulled my hair when doing it
 
I have no reason other than that’s how they calculated it. I think it’s an error on the part of CFAI for not mentioning it.
I used semi-annual from the start but I wonder how close the numbers are if you did quarterly or single coupon at end.
The only thing I wonder is if you don’t actually need numbers for that problem. Maybe you can do the problem just by looking at rates and xchange rate movement and eliminate 2/3 answers. Maybe that’s the trick.
 
cleverCFA wrote:
I have no reason other than that’s how they calculated it. I think it’s an error on the part of CFAI for not mentioning it.
I used semi-annual from the start but I wonder how close the numbers are if you did quarterly or single coupon at end.
The only thing I wonder is if you don’t actually need numbers for that problem. Maybe you can do the problem just by looking at rates and xchange rate movement and eliminate 2/3 answers. Maybe that’s the trick.
Click to expand...
Had the same issue as to how to determine the payment frequency. This item set is really messed up
 
vicky_cool400 wrote:
bro how was 2013 vs 2012 toughness. How many % points
Click to expand...
haven’t taken it. Was hoping you could tell me.
When are you doing 2013? You gotta do it, no time to waste.
 
Also another possible error is question 53 pm session.
The GTM should include the control premium, but they still add it in the answer.
any idea?
 
I hereby ban vicky_cool from all threads 2013 CFAI Mock-related and from uttering words in any way related to the aforementioned mock until such time as he has TOTALLY completed it!
Let it be known!
 
LinaK wrote:
Also another possible error is question 53 pm session.
The GTM should include the control premium, but they still add it in the answer.
any idea?
Click to expand...
I added it because in the explanation of Olsen’s suggested method it said to add it. Otherwise, I would not have done so.
 
This Question 7, even with errata. I still don’t get it. Probability of up and down(59%, and 41%) were given in the question. Why we can not use them?
 
these are “normal probabilities”. the ones used in the optio pricing are what is so called “risk neutral probabilities”.. i also rushed and used the given ones
 
these are “normal probabilities”. the ones used in the optio pricing are what is so called “risk neutral probabilities”.. i also rushed and used the given ones
 
cgottuso8190 wrote:
LinaK wrote:
Also another possible error is question 53 pm session.
The GTM should include the control premium, but they still add it in the answer.
any idea?
Click to expand...
I added it because in the explanation of Olsen’s suggested method it said to add it. Otherwise, I would not have done so.
Click to expand...
I thought it was an additional into to trick me into adding the premium incorreclty lol . I was like ahaaa i know what you’re tyring to do”! just doesnt tally with the text at all
 
You must log in or register to reply here.
Back
Top