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Sweeting example 14.6

Y

yellowvonpen

Member
On page 354 of Sweeting, the final column of the table in example 14.6 does the calculation (value less mean)^2*(P[rating]), or (column 6)^2*(column 3). Why wouldn't you use column 4, the P[rating adjusted for issuers losing rating], as we do in the expected value calculation? Thx!
 
I did check the errata but didn't find anything there for this exercise.
 
HI. Sorry for the delay. I've looked at this and I'm not sure what your question is. The example is showing how to calculate the expected value of the bond and the variance of this value. Can you let me know what you are trying to do?

Simon
 
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