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CFA Level IIFormula Sheet 7 – Derivatives
http://www.cpa-cfa.orgDerivatives
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 IIFormula 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 =
Put-call parity:
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CFA Level IIFormula Sheet 7 – Derivatives
http://www.cpa-cfa.org
One period binomial formulas
S+ =
S- =
Max c+ = Max p+ =
Min c- = Min p- =
Pie =
c0 =
Hedge amount = n =
Two period binomial formulas
S++ =
S+ - =
S - - =
Max c++ =
Mid c+ - =
Min c - - =
Pie =
c1+ =
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CFA Level IIFormula Sheet 7 – Derivatives
http://www.cpa-cfa.org
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 =
Swaps are based on _________ days
Fixed rate swap (4 pmts) = FS0 = 4
CFA Level IIFormula Sheet 7 – Derivatives
http://www.cpa-cfa.org
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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