<t>Hi krisman1428,I assume by compounding swaps you refer to the case in which the reset frequency is higher than the payment frequency. Then your payment is given through (1 + r1) * tau1 * (1 + r2) * tau2. If you have a spread in the swap this might be added inside the brackets for compounding purp...

Thx, hope it was worth the efforts...

If you are interested in the sensitivity to the overall interest rate level -> modified duration.If you are interested in the sensitivity to the spread above some interest rate benchmark -> spread duration.

Passed Level III, kind of happy now

That´s the point, there is only next YEAR (not Dec as for Level I). Enough time to forget a large part of the stuff and then you have to go through all that again. Anyway...

Wrote Level III. I think the morning session was pretty tough, especially to get all the things done in time so I missed several parts. Afternoon was more smooth but I really doubt whether this can offset my poor first part. Really frustrating after that long preparation.

Useful could beLipman, Mercurio - The New Swap MathMercurio - Interest Rates and the Credit CrunchOften cited ar ealso papers from Bianchetti

Passed Level II. Feels so great :-)One big step left.

???

For Bermudans we also use LGM which is essentially Hull-White but allows kind of better finetuning. I guess path dependent exotics are also widely priced with Hull White.

results to be sent on july 24th, too much time of uncertainty left.btw ppauper: from your experience, do you think the CFA charter is a valuable additional asset for a quant?

as people wrote: better perspectives at HF - if you´re fine with CT...

sat for l2. quite challenging as expexted, in my opinion harder than the mock exam. topics i expected to be "scoring cash cows" maybe haven´t been that rich. if somebody is expert in developing tough exams then it´s cfai.

CIIA is kind of European equivalent to CFA. I decided to try earning the CFA charter as I guess it is internationally much more recognized. Seems correct looking at the statements above...

<t>Recently I also made some calculations to test the gradient/Jacobian approach mentioned by Bustopher. In fact, it worked quite well. The sensitivity based on zero rate shifts looks good for the entire curve (i.e. parallel shift), but the bucketwise sensitivities are far from accurate. Using the J...