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• This page contains a summary of the standards and clarifications from the homework thread for release 4 and release 5. Both are due November 3 (see post 4.10 for this extension).

[edit] Project Description

• Post 4.1 and post 4.13 contains the project description for release 4.

• Post 5.1 and Post 5.3 contains the description for release 5.

• See also the other 9815 Homework pages.

[edit] Repo Financing Costs

• The formula for repo financing costs is "(days this position is financed) / 360 * (repo rate)/100 * market value" (see post 4.11,post 4.12)
  1. days the position is financed is the number of calendar days since the prior business day (see post 4.20, and 4.21)
  2. market value is the "dirty price" of the bond: "Market Value = Position * Price / 100 + Accrued Interest" (see post 4.26)

Make sure you use the prior day's repo rate when computing financing costs on a given day (see post 4.43).

[edit] Unrealized PnL

• See the release 6 project description for how to compute unrealized PnL.
• Use the given prices to compute pnl:

Should we use the given yield to find the price or use the given price? Use the price for calculating PnL. (Tuesday's price-Monday's price)*position gives the portion of the PnL due to mark-to-market. Don't forget to include the security income and subtract the security expense. The yield is given so that you can use the yield when computing the security (repo) expense.

• There is no PnL on the first date.

[edit] Input Files

• Headers are missing from the file "release4_input_fixedIncome_repoGeneral.txt" -- use the header line "Date,RepoRate" (post 4.16).

• Input file percentages need to be divided by 100 (post 4.17)
• Agency input files for release 5 have different headers for coupon frequency in Descriptions and for yield in Prices.

[edit] Results for release 4

• Carl: post 4.17.
• Aditya: post 4.30, 4.32
• Eugene: post 4.33
• Bobby (Koupparis): 4.38

[edit] Results for release 5

• Eugene: 5.39
• Roger: 5.10
• Doug: 5.21