Quant

sunilshetty12345
Posts: 5
Joined: Thu Apr 06, 2017 7:27 am

Quant

Postby sunilshetty12345 » Thu Apr 06, 2017 6:35 pm

1. How to price a future when convenience yield and storage cost are not continuous but discrete?

2. If Nifty has IV of 16%, how of movement is expected in Nifty on daily basis?

edupristine
Finance Junkie
Posts: 778
Joined: Wed Apr 09, 2014 6:28 am

Re: Quant

Postby edupristine » Sat Apr 15, 2017 11:52 am

Hi Sunil

1. How to price a future when convenience yield and storage cost are not continuous but discrete?

When the cost are following a discrete function, we should use this formula to calculate future price F = S[1 + (r-c)T].

2. If Nifty has IV of 16%, how of movement is expected in Nifty on daily basis?

To convert annual Implied volatility to daily volatility you simply have to divide the annual volatility by the square root of time, hence this can be calculate by 16%/SQRT(Time).

sunilshetty12345
Posts: 5
Joined: Thu Apr 06, 2017 7:27 am

Re: Quant

Postby sunilshetty12345 » Tue Apr 18, 2017 5:46 pm

Thanks

sunilshetty12345
Posts: 5
Joined: Thu Apr 06, 2017 7:27 am

Re: Quant

Postby sunilshetty12345 » Wed Apr 19, 2017 1:30 pm

What is the reason for using SQRT of Time

mayankverma
Posts: 1
Joined: Fri Apr 07, 2017 8:06 am

Re: Quant

Postby mayankverma » Wed May 03, 2017 5:25 am

Hie Sir,
Mayank here.. I've some doubts regarding FRM exam... m going to take november 2017 slot for FRM-1... should i give both part together or separately..????


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