Scribd
Upload
71 views4 pages

(1 Imr) (1+interestrate) Initial.P 1 Maintenance Margin: Selected Formula List

1. This document contains formulas for financial concepts including the value of a mutual fund after n years, return and variance of a portfolio with two risky assets, invoiced and flat bond prices, Macaulay's duration, modified duration, convexity, price sensitivity of bonds, constant growth and two-stage dividend discount models, FCFF and FCFE models, payoffs for call and put options, and put-call parity. 2. It also includes formulas for profit of protective puts, covered calls, long straddles, call option hedge ratios, and calculating risk-neutral probabilities. 3. The document provides over 30 financial formulas across various topics in a single reference sheet for practitioners.

Uploaded by

Feeling_so_fly
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
71 views4 pages

(1 Imr) (1+interestrate) Initial.P 1 Maintenance Margin: Selected Formula List

1. This document contains formulas for financial concepts including the value of a mutual fund after n years, return and variance of a portfolio with two risky assets, invoiced and flat bond prices, Macaulay's duration, modified duration, convexity, price sensitivity of bonds, constant growth and two-stage dividend discount models, FCFF and FCFE models, payoffs for call and put options, and put-call parity. 2. It also includes formulas for profit of protective puts, covered calls, long straddles, call option hedge ratios, and calculating risk-neutral probabilities. 3. The document provides over 30 financial formulas across various topics in a single reference sheet for practitioners.

Uploaded by

Feeling_so_fly
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 4

1

Selected Formula List



Price contingent orders:


Price that trigger a margin call for buying on margin:



Price that trigger a margin call for short-selling:



The value of an investment in a mutual fund after n years:
12 1
(1 )* *(1 ) *(1 )
n
n Front Portfolio Operating b Back
Value f I r f f f

= +
Return and variance for 2 risky assets portfolio:
2 2 2
( ) = ( )+ ( )
=( ) + ( ) + 2( )( )
P B B S S
P B B S S B B S S BS
E r w E r w E r
w w w w o o o o o

Composition of optimal risky portfolio formed by 2 risky assets:





Market risk premium:


Abnormal Performance Measures:









(1 IMR)*(1+InterestRate)
*initial.P
1 Maintenance Margin
p

<=

initial.P*(1 IMR)-d
1 Maintenance Margin
p
+
>=
+
2
2 2
[ ( ) - ] - [ ( ) - ]
=
[ ( ) - ] + [ ( ) - ] - [ ( ) - + ( ) - ]
=1 -
B f S S f B S BS
B
B f S S f B B f S f B S BS
S B
E r r E r r
w
E r r E r r E r r E r r
w w
o o o
o o o o
2
E( ) - = *
M f M
r r A o
' =( - )- *( - )= - * p m
p P f p m f p
Jensens r r r r R R o | |
-
=
p f
p
r r
Treynor Ratio
|
-
=
p f
p
r r
Sharpe Ratio
o

= =

p
ep
Abnormal Return
Information Ratio
Tracking Error
o
o
2

ROE:

'
Net Income
Shareholder s Equity

Dupont Equation:

= * * * *
'
= * * * *
Net Income Pretax Profit EBIT Sales Total Assets
ROE
Pretax Profit EBIT Sales Total Assets Shareholder s Equity
Tax Burden Interest Burden Operating Margin Total Asset Turnover Leverage
ROA:

EBIT
Total Assets


Relationship among ROA, ROE and Leverage:
=(1- )*[ +( - )* ]
Debt
ROE Tax Rate ROA ROA Interest Rate
Equity

Invoiced Bond Price:



Flat Bond Price:
Flat Price (Listed Price) = Invoiced Price Accrued Interest

Accrued Interest:

= *

Days Since Last Coupon Payment
Accrued Interest Coupon Payment
Days Separating Coupon Payments

Macaulays Duration:
=1
1
' = ( * * )
(1+ )
T
t
t
t
CF
MacaulaysDuration t
YTM Bond Price


Modified Duration:
1
= * '
1+
ModifiedDuration MacaulaysDuration
YTM

Convexity:
ModifiedDuration
Convexity
r
c
=
c


Price sensitivity of bond:
= - *
P
ModifiedDuration y
P
A
A
2
1
= - * + * *( )
2
P
ModifiedDuration y Convexity y
P
A
A A
1 1
1


(1 ) (1 )
T
t w T w
t
Coupon Par Value
Invoice Price
r r
+ +
=
= +
+ +

3

No-Growth DDM:


Constant-Growth DDM:
1
0
D
P
k g
=


Two-Stage DDM:
0 0
0
1
*(1 ) *(1 ) *(1 )
(1 ) (1 ) *( )
t n n
H H L
t n
t
L
D g D g g
P
k k k g
=
+ + +
= +
+ +


Dividend growth rate:
= * g ROE retention ratio
Present value of growth opportunities:
1
0
= +
E
P PVGO
r

FCFF:
FCFF = EBIT*(1-Tax Rate) + Depreciation Capital Expenditures Increase in
NWC

FCFE:
FCFE = FCFF Interest Expense *(1-Tax Rate) + Increases in net Debt

Constant-growth FCFF model:



Two-Stage FCFF model:



Constant-growth FCFE model:



Two-Stage FCFE Model:



Payoff to call option holder on expiration date:




0
D
P
k
=
1
0
FCFF
FirmValue
WACC g
=

0 0
0
1
*(1 ) *(1+g ) *(1 )
(1 ) (1 ) *( )
t n n
H H L
t n
t
L
FCFF g FCFF g
FirmValue
WACC WACC WACC g
=
+ +
= +
+ +

1
0

e
FCFE
Value of Equity
k g
=

0 0
0
1
*(1 ) *(1+g ) *(1 )

(1 ) (1 ) *( )
t n n
H H L
t n
t
e e e L
FCFE g FCFE g
Value of Equity
k k k g
=
+ +
= +
+ +

0 if S X
Payoff = V
if S > X
T
c
T T
S X
s
=

4

Payoff to put option holder on expiration date:



Profit to call option holder on expiration date:


Profit to put option holder on expiration date:


Profit of protective put:
Max (X-S
T
, 0) + S
T
S
0
P

Profit of covered call:
-Max (S
T
X,0) + S
T
S
0
+ C

Profit of long straddle:
Max(S
T
X,0) + Max(X S
T
,0) C P

Put-Call Parity:
C
0
P
0
= S
0
PV(X)

Call Option hedge ratio:
0 0
-C
=
-
u d
C
H
uS dS

Risk-neutral Probability:
(1 )
T
f
r d
p
u d
+
=



0 if S X
Payoff = V
if S < X
T
p
T T
X S
>
=

( ) ( , 0)
T
Profit Loss Max S X C =
( ) ( , 0)
T
Profit Loss Max X S P =

You might also like

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy