FRL 315-01

Financial Institutions and Markets

P. Sarmas
Formula Sheet
Y
at
= Y
bt
*1-!"
Y
n
= R
#$n
% &' % L' % !( % )(LL' % )*+&
j
n
n t
j n
j n t
j n t
i
i
r
) 1 (
) 1 (
1
+
+
= +
+
+
+
n
i i i i
i
n t t t t
n t
1 1 1 2 1 1 1
....
+ + +
+ + + +
=
n
n t t t t n t
i i i i i ) 1 )...( 1 )( 1 )( 1 ( ) 1 (
1 1 1 2 1 1 1 + + +
+ + + + = +
n
n t
n
n t
n t
i
i
r
) 1 (
) 1 (
) 1 (
1
1
1
+
+
= +
+
+
+
n
n t t t t
n t
L
n
i i i i
i +
+ + + +
=
+ + + 1 1 1 2 1 1 1
....
n
n
n t t t t n t
L i i i i i + + + + + = +
+ + +
) 1 )...( 1 )( 1 )( 1 ( ) 1 (
1 1 1 2 1 1 1
n
n
n t
n
n
n t
n t
L i
L i
r
+
+
= +
+
+
+
+
) 1 (
) 1 (
) 1 (
1
1
1
1
DL) +
MB
( x m = M

D
C
+
D
ER
+
r
D
C
+ 1
= m

R x
r
1
= D

MB * m = M

100 x )
P
-
P
( = Option Put of Vau!

100 x )
P
-
P
( = Option Ca of Vau!

Contra"t# of Vau!
Portfoio of Vau!
x = Contra"t#

D$R
x
V
- =
D$R
x
V

PV
PV
x %R = Contra"t#

x
P
P
= %R
n
D
D
mar&!t #tri&!
#tri&! mar&!t
'ap ( ) )
f
a
af
f
a

E*R +OV, r ,-ME r r C(.%

C(.%
m
' t /
+ + + +
+
=
1
n PP
PP Par
0
n PP
PP Par
0
n PP
PP .P or Par
0
n Par
PP Par
D
RP
CP
,
,
360
*
360
*
365
*
) (
360
*

=
P
P P
+ C
= RE,
t
t 1 + t

&
D$R
D$R Mo/ifi!/
) & + (1
CP
) & + (1
CP
* t
= Dur
t
t
n
=1 t
t
t
n
=1 t
+
=

1
n i n i
n t
t
n
1 = t
0
PV-) Par PV-)( C P
) i + (1
Par
+
) i + (1
C
=
P
, , 0
* * + =

=
=
m
j
j i P
D$R 1 D$R
1
*
i" " in Change Percent
BP in Change Percent
=
!
BP
i + 1
i
* D$R - P 2


3
Price Market 2 - Value ace
Price Market Value a!e

+
=
n
Coupon
0,M
! approximat
-3V
D Loan -3V .P
R
+
=
)
i
+ (1
Par
C
+ 4444 +
)
i
+ (1
C
+
)
i
+ (1
C
+
)
i
+ (1
C
= P
) i + (1
Par
C
+ 4444 +
) i + (1
C
+
) i + (1
C
+
) i + (1
C
=
P
n
n
5 6 1
n
n
5
5
6
6
1
1
0
2
3 2 1
0
2
2
2
2
2
2
2
2
+
+
P
C
= i
"
.7ar! p!r Earnin'#
Ratio PE
Di8i/!n/
DP.
P
P P C
RE,
t
t t
"hare #er Price
g $ut%tan&in "hare%
1
=
=
+
=
+
)
i
+ (1 =
E
E
* )
i
+ (1
f
t
1 + t u#
B
R R
-n/!x ,r!9nor
R
u ) B B R E
R R B R R
' &
D
P .P
&
.P D
&
D
&
D
PV
f
f
j
n
i
i i
f m j f j
"
n
n
n
n
' '
-
1
0
1
2
2
1
1
1 t
t
t
(
)n&e* "har#
) (
) (
) 1 (
......
) 1 ( ) 1 (
k
+
"t,ck ,- PV
k) (1
+
Price
g $ut%tan&in "hare%
ir. ,- Value
Price "t,ck

=
+ + =
+ =

= =
+
+
+ +
+
+
+
=
=
+
=
=

=
+

100 * Pre.iu.) - Price Market - Price ("trike % Pr,-it/0,% $#ti,n Put

100 * #re.iu.) - Price "trike - Price (Market % Pr,-it/0,% $#ti,n Call
=
=
) + (1 =
E
E
* ) + (1
f
t
1 + t u#

*100
n
5:0
*
);D
);D - .pot
= / < f
E
E
-
E
-
i
= /oar of t!rm#
RE,
t
t
!
1 + t f f
E
E
-
E
+
i
-
i
=
RE,
R!ati8!
t
t
!
1 + t f = =