CFA Level 1 Formulas
CFA Level 1 Formulas 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 Bank discount yield - ANSWER-(FV - Price)/(FV) * (360/T)
Información del documento
- Subido en
- 28 de julio de 2023
- Número de páginas
- 19
- Escrito en
- 2022/2023
- Tipo
- Examen
- Contiene
- Preguntas y respuestas
