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Fixed Income Practice – Question 8 Credit Analysis Models

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  • This topic has 1 reply, 2 voices, and was last updated Oct-2410:15 pm by Geronimo78.
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    • Avatar of Geronimo78Geronimo78
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        • CFA Level 2
        12 Jun 2023 at 9:02 am
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        Hello,

        Could you help me on this please ?

        It concerns a question (Question 8) at the end of the reading 31 of Fixed Income Level II _ 2022 editions.

        I would like to know how we find the first up/down move of the interest rates in the arbitrage Tree.

        We have 20% Vol but I don’t know how we find rate (up) of 2.1180% and rate (down) of 1.4197%.

        Someone could help me ?

        Many Thanks

        Best

        J

        Geronimo78 voted upzae40611 voted up
      • Avatar of lavenderlavender
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          • CFA Level 1
          02 Jan 2024 at 4:04 am
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          I appreciate you informing me about this content because I think it’s fantastic. That is precisely what I was wanting to find, and I genuinely hope you will continue to provide such wonderful information in the future. run 3

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