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  • FORMULAE

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    headphoneticofficial
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    This document discusses financial formulas for calculating the present value of bonds, portfolio variance, spread, and the relationship between call and put options. It includes formulas for determining the present value of bond payments including dividends and principal, calculating portfolio variance based on the variance and covariance of holdings, defining spread as the profit of an underwriter, and relating the value of a call option to the present value of the exercise price and share price as well as the value of a put option.

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    This document discusses financial formulas for calculating the present value of bonds, portfolio variance, spread, and the relationship between call and put options. It includes formulas for determining the present value of bond payments including dividends and principal, calculating portfolio variance based on the variance and covariance of holdings, defining spread as the profit of an underwriter, and relating the value of a call option to the present value of the exercise price and share price as well as the value of a put option.

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    © All Rights Reserved
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    6 views2 pages

    FORMULAE

    Uploaded by

    headphoneticofficial
    This document discusses financial formulas for calculating the present value of bonds, portfolio variance, spread, and the relationship between call and put options. It includes formulas for determining the present value of bond payments including dividends and principal, calculating portfolio variance based on the variance and covariance of holdings, defining spread as the profit of an underwriter, and relating the value of a call option to the present value of the exercise price and share price as well as the value of a put option.

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    © All Rights Reserved
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    of 2

    PV(Bond) = Pv(Anuity of Dividend +

    Pv(principle)
    Portfolio variance =
    x 2 1σ 2 1 + x 2 2σ 2 2 + 2x1x2σ12
    Spread = Profit of Underwritert
    Value of call + Present value of exercise price =
    Value of put + Share price

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