Sweeting example 14.6

Discussion in 'SP9' started by yellowvonpen, Jul 24, 2016.

  1. yellowvonpen

    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!
     
  2. Simon James

    Simon James ActEd Tutor Staff Member

  3. yellowvonpen

    yellowvonpen Member

    I did check the errata but didn't find anything there for this exercise.
     
  4. Simon James

    Simon James ActEd Tutor Staff Member

    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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