Dear FRM Candidate,

Just a few days to to go! Hope you are making the best out of your study time by revising and solving plenty of practice questions.

Last week, we took a look at several trading strategies. I hope it helped cement your concepts. This time, we will look at more excel sheets on Financial Markets and Products and Valuation and Risk Models.

Financial Markets and Products:

1. Cheapest to Deliver – You can learn how to identify the cheapest to deliver in a T.Bond contract

2. Duration Hedging – Understand how to calculate the number of T.Bond contracts needed to hedge a bond portfolio.

3. Forex Futures Arbitrage – Discover arbitrage situations when interest rate parity does not hold.

4. Interest Rate Swap – Check out the mechanics of a plain vanilla interest rate swap

Valuation and Risk Models:

1. Option Pricing – Find the value of an option by both Black Scholes and Monte Carlo Simulation

2. VaR – Find the Historical VaR, Parametric VaR, EWMA Volatility, Margin Requirement based on VaR, and forecast the stock price using Geometric Brownian Motion.

I hope these models help you attain a deeper understanding of these topics.

Wishing you luck for your exams!

Team Pristine