CFA Level II Formula Sheet 7 – Derivatives http://www.cpa-cfa.

org

Derivatives Fwd price = FP = • • value of fwd at initiation = • • value of fwd at any time t = • • value of fwd at expiration = fwd price with discrete dividends = FPDDiv = PV of discrete dividends = value of fwd with DDiv at any time t = fwd price with continuous dividends = FPCDiv = Continuous rf = value of fwd with CDiv at any time t = fwd price with of bond = FPBond = PV of coupons = value of fwd with bond at any time t =

____ x _____ FRA =

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CFA Level II Formula Sheet 7 – Derivatives http://www.cpa-cfa.org

Rate on ____ x ____ FRA =

Rate on ____ x ____ FRA ____ days later =

Rate on ____ x ____ FRA at expiration = • • fwd price on currency = FPFX = • • value of FX fwd at any time t = • • fwd price on currency with cont. comp. = FPFXc = value of FX fwd with cont. comp. at any time t = Futures price0 = • • FV of coupons = Futures price with conversion factor = Continuous div =

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CFA Level II Formula Sheet 7 – Derivatives http://www.cpa-cfa.org

Put-call parity: • • • • One period binomial formulas S+ = S- = Max c+ = Min c- = Pie = c0 = Hedge amount = n = • Two period binomial formulas S++ = S+ - = S -- = Max c++ = Mid c+ - = Min c - - = Pie = 3 Max p+ = Min p- =

CFA Level II Formula Sheet 7 – Derivatives http://www.cpa-cfa.org

c1+ = c1- = c0 = Hedge amount at current price = n = Hedge amount at S+ = n+ =

Hedge amount at S - = n - = Delta • • • Gamma • Rho Theta Vega Black Model Change in Call = Change in Put =

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CFA Level II Formula Sheet 7 – Derivatives http://www.cpa-cfa.org

Swaps are based on _________ days Fixed rate swap (4 pmts) = FS0 = • PV factor = PVF = PFV n days away = PV of notional + fixed pmts = PV of notional + floating pmts = Value of equity swap = • • MV at expiration of receiver swaption = • Libor payoff with cap = Libor payoff with floor =

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