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CFA LEVEL 1 FORMULAS
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Price change based on convexity - Answer--duration(change in yield)+1/2(convexity)(change in yield)^2 Effective Duration - Answer-Required if a bond has embedded options: [(v-)-(v+)]/[2V0(change in curve)] Modified Duration - Answer-[(v-)-(v+)]/[2V0(change in yield)] Future Value - Answer-PV(1+(I/Y)^N) PV - Answer-FV/(1+r)^n PV of perpetuity - Answer-PMT / discount rate Approximate percentage price change of a bond - Answer-(-)(modified duration)(ΔYTM) Nominal Risk Free - Answer-Real Risk Free + expected inflation Required Return - Answer-Nominal risk free + liquidity premiums + default risk premium + maturity risk premium EAR - Answer-[(1+periodic rate)^N ] - 1 EAR continuous - Answer-e^r - 1
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CFA LEVEL 1
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CFA LEVEL 1
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- May 5, 2024
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- Written in
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