7177 3297 3608 3769 3934 4102 4273 4447 4984 5442

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Unformatted text preview: % 36.08% 37.69% 39.34% 41.02% 42.73% 44.47% 49.84% 54.42% 59.05% 63.65% 68.17% φ(d) 0.24 0.25 0.26 0.27 0.28 0.29 0.30 0.31 0.31 0.32 0.33 0.34 0.35 0.36 0.36 0.37 0.38 0.38 0.39 0.39 0.39 0.40 0.40 0.40 0.40 0.40 0.40 0.40 0.39 0.39 0.38 0.38 0.37 0.36 0.35 0.34 0.33 0.32 0.31 0.30 0.29 0.28 0.27 0.26 0.25 0.31 0.32 0.33 0.34 0.34 0.37 0.37 0.39 0.39 0.40 0.40 0.40 0.40 0.40 0.40 0.39 0.39 0.39 0.39 0.38 0.37 0.36 0.36 0.35 0.34 0.34 0.33 0.32 0.31 0.33 0.35 0.35 0.36 0.36 0.37 0.38 0.39 0.39 0.39 0.40 0.40 0.40 0.39 0.37 0.34 0.36 0.37 0.38 0.38 0.39 0.39 0.40 0.40 0.40 0.39 0.38 0.36 Position -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 Delta Gamma -0.154488 -0.164288 -0.174524 -0.185200 -0.196316 -0.207875 -0.219875 -0.232314 -0.245188 -0.258490 -0.272213 -0.286347 -0.300880 -0.315798 -0.331086 -0.346726 -0.362699 -0.378982 -0.395552 -0.412384 -0.429451 -0.446723 -0.464170 -0.481761 -0.499462 -0.517240 -0.535059 -0.552884 -0.570678 -0.588405 -0.606028 -0.623511 -0.640818 -0.674761 -0.691329 -0.707585 -0.723498 -0.739039 -0.754182 -0.768900 -0.783171 -0.796974 -0.810293 -0.823110 -0.835415 -0.236831 -0.256845 -0.267234 -0.277874 -0.288761 -0.346697 -0.358936 -0.409766 -0.422887 -0.449539 -0.476646 -0.504091 -0.517902 -0.531748 -0.545615 -0.559485 -0.573341 -0.587165 -0.600940 -0.614648 -0.655196 -0.668462 -0.681576 -0.694520 -0.707278 -0.719836 -0.732178 -0.744289 -0.756157 -0.275319 -0.293515 -0.312399 -0.322092 -0.331946 -0.352124 -0.372895 -0.416036 -0.427116 -0.438300 -0.460948 -0.483913 -0.542233 -0.600854 -0.658450 -0.713678 -0.326635 -0.357472 -0.373450 -0.389777 -0.406435 -0.423398 -0.440643 -0.493785 -0.539200 -0.585035 -0.630662 -0.675414 -0.002124 -0.002211 -0.002299 -0.002386 -0.002473 -0.002559 -0.002644 -0.002727 -0.002809 -0.002888 -0.002965 -0.003038 -0.003108 -0.003175 -0.003237 -0.003295 -0.003348 -0.003396 -0.003438 -0.003474 -0.003504 -0.003528 -0.003545 -0.003555 -0.003558 -0.003554 -0.003543 -0.003525 -0.003500 -0.003467 -0.003428 -0.003382 -0.003329 -0.003204 -0.003133 -0.003056 -0.002974 -0.002888 -0.002797 -0.002703 -0.002605 -0.002505 -0.002402 -0.002298 -0.002192 -0.002143 -0.002238 -0.002284 -0.002329 -0.002372 -0.002562 -0.002593 -0.002696 -0.002715 -0.002744 -0.002761 -0.002764 -0.002761 -0.002755 -0.002745 -0.002731 -0.002715 -0.002695 -0.002671 -0.002644 -0.002545 -0.002506 -0.002464 -0.002419 -0.002371 -0.002321 -0.002269 -0.002215 -0.002158 -0.001962 -0.002022 -0.002079 -0.002106 -0.002132 -0.002179 -0.002222 -0.002288 -0.002301 -0.002312 -0.002328 -0.002336 -0.002322 -0.002257 -0.002142 -0.001980 -0.001652 -0.001709 -0.001733 -0.001755 -0.001774 -0.001790 -0.001803 -0.001821 -0.001810 -0.001774 -0.001713 -0.001628 Delta-Based 10-day Portfolio 1% $VaR Variance 10.06...
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This note was uploaded on 09/13/2013 for the course FINANCE 225 taught by Professor Aureliovasquez during the Winter '13 term at Instituto Tecnológico de Santo Domintgo.

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