September/December 2017 Q4

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June 7, 2018 at 7:53 am #457397
gayathriharidas
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In the examiners answer, the losses and gains are apportioned by 3/12. How did he arrive at the fraction?
June 7, 2018 at 4:50 pm #457553
John Moffat
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We always take 3/12 when it is future and options on futures, because they are three-month futures.
I do suggest that you watch my free lectures on interest rate risk, because I explain this (with examples).
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