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1413Vega Proxy 5Use the proxy vega ~= 0.4 * S * sqrt(T). If S=95 and T=1 year, what vega estimate results?脑筋急转弯中等数值题未尝试免费1415Forward Points Carry 7If a currency pair trades at 1.2400 spot and 1.2462 three-month forward, what are the forward points?脑筋急转弯困难数值题未尝试面试订阅1417Option Time Decay Average 9A premium of 9.60 is expected to decay linearly to zero over 120 trading days. What is the average daily theta under that linear proxy?脑筋急转弯中等数值题未尝试免费1418Duration-Convexity Approximation 10Use dP/P ~= -D*dy + 0.5*C*dy 2. If D=6, C=80, and dy=0.01, what percentage price move is implied?脑筋急转弯困难数值题未尝试面试订阅1421Annualized Vol from Daily Vol 13Using annualized vol ~= daily vol * sqrt(252), what annualized vol corresponds to daily vol 1.2%? Use sqrt(252) ~= 15.87.脑筋急转弯简单数值题未尝试免费1422Approximate Sharpe 14If annual return is 12% and annual vol is 18%, what is the Sharpe ratio under zero funding rate?脑筋急转弯中等数值题未尝试免费1424Contract Count from Notional 16One futures contract has notional 210,000. How many contracts make up 52.5 million of notional?脑筋急转弯中等数值题未尝试免费1425Basis-Point Revenue 17What is 7.5 bp of 640 million?脑筋急转弯困难数值题未尝试面试订阅1428Exponential Quadratic Remainder 3Compute lim (x->0) [exp(3x + -2x 2) - 1 - 3x] / x 2.数学中等数值题未尝试免费1435Logarithmic Mixed Expansion 5Compute lim (x->0) [ln(1 + 5x + 2x 2) - 5x] / x 2.数学困难数值题未尝试面试订阅1440Square-Root Remainder 5Compute lim (x->0) [sqrt(1 + 3x + -4x 2) - 1 - (3/2)x] / x 2.数学困难数值题未尝试面试订阅1441Trigonometric Asymptotic 1Compute lim (x->0) [sin(2x + 7x 2) - 2x] / x 2.数学简单数值题未尝试免费1444Trigonometric Asymptotic 4Compute lim (x->0) [arctan(5x) - 5x] / x 3.数学困难数值题未尝试面试订阅1446Mixed-Expansion Limit 1Compute lim (x->0) [((e x - 1) - ln(1+x)) / x 2].数学简单数值题未尝试免费1447Mixed-Expansion Limit 2Compute lim (x->0) [((sqrt(1+x) - sqrt(1-x)) - x) / x 3].数学简单数值题未尝试免费1450Mixed-Expansion Limit 5Compute lim (x->0) [ln(cosh(2x))] / x 2.数学困难数值题未尝试面试订阅1462Spaced-Pole Telescoping Series 2Evaluate the infinite series sum (n=1) inf 1 / [(4n+1)(4n+1+4)].数学简单derivation未尝试免费1466Repeating-Block Power Series 1Let a n repeat the block [1, 0, 2] forever. Evaluate sum (n=1) inf a n * (1/3) n.数学简单数值题未尝试免费1503Inventory Skew Multiplier 3Use a second-order Taylor approximation around 0 to estimate exp(1x)/(1+-1x) at x=1/25.数学中等derivation未尝试免费1506Volatility Rescaling Neutralizer 1Choose b so that sqrt(1+6x) * exp(bx) has no linear term in its Taylor expansion around 0.数学简单数值题未尝试免费