Formulae List (1)
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Treasury and Capital Markets
Formulae List FV Market capitalization Market Capitalization (using free float) Earnings Per Share (EPS) Price to Earnings Ratio (P/E Ratio) Dividend Yield (%) Volatility (%) Book Value of Share Beta (ß) Returns Maintenance margin VaR Margin (Group I) VaR Margin (Group II) VaR Margin (Group III) Extreme loss margin (Stock) Trading Position Current Yield Annualized Coupon Actual/Actual = PV*(1+r/m)^(m*t) = Market Price * Number of Outstanding Shares = Market Price * Number of Outstanding Shares * Free Float Factor = Profit After Tax (PAT)/Total no. of Equity Shares (Issued) = Market Price of the Share/Earnings per Share (EPS) = [Dividend per Share/ Market Price of Share]*100 = [(Highest Price of Share – Lowest Price)/ Market Price of Share]*100 = (Equity Share Capital + Reserves) /Total no. of Equity Shares (Issued) = Covariance (Index, Stock)/Variance (Index) = (Value today - Value of the previous day)/Value of the previous day = (Value of your money (equity) / Market value of investment) = 3.5 times volatility or 7.5% of the value of the transaction. =3.5 times volatility or 3 times the VaR of the index*√3 = 5 times the VaR of the index*√3 = 1.5 times the standard deviation of daily returns of the stock price in the last six months or 5% of the value of the position. = Total Purchases-Total Sales (Annual Coupon Amount / Market Price)*100 [1+r/m]n - 1 The number of days between two interest dates /[(The actual number of days in the current interest period) *( The number of coupons paid in a year)] Bond Price = ∑ C / (1 + r /m )^m*t C=Coupon r=YTM m=Number of times compounding happens in a year t=Time period in years Clean Price + Accrued Interest(undiscounted) Face Value (FV)/[1 + (YTM*Time period in years)] Settled purchase or open purchase: –ve sign (+ve balance in RBI’s books) Open sale: +ve sign (- ve balance in RBI’s books) Long trading position: +ve sign Short trading position: –ve sign Σ (PVCF/TPVCF)*T
Bond Price
Dirty Price Zero Coupon Bond Pricing Security Position
Trading Position Macaulay Duration
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Treasury and Capital Markets
Modified duration Convexity Adjustment Convexity Measure Forward FX Rate Pre-Settlement Risk (PSR) MLIV Swap Difference Extreme Loss Margin (Currency Futures – USDINR) EWMA formula [Macaulay Duration]/[1 + (YTM/k)] k = is the number of interest periods in a year (Convexity measurement/2 )*(Δy)2 * 100 Where Δy is the change in yield. Σ(PVCF/Bond price)*(T^2) F = S * (1+Rq* Tq)/(1+Rb * Tb) Current Mark to Market (CMTM) + Maximum Likely Increase in Value (MLIV) Daily Factor Sensitivity × √(Contract Tenor) × Amount [Spot rate*Interest rate differential/100]*[No.ofmonths forward /12 Months] = 1% of the MTM value of the open positions. σn2 = λ σn-12 + (1- λ) un-12 σ – Volatility u – Data of Returns n – Date
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Formulae List FV Market capitalization Market Capitalization (using free float) Earnings Per Share (EPS) Price to Earnings Ratio (P/E Ratio) Dividend Yield (%) Volatility (%) Book Value of Share Beta (ß) Returns Maintenance margin VaR Margin (Group I) VaR Margin (Group II) VaR Margin (Group III) Extreme loss margin (Stock) Trading Position Current Yield Annualized Coupon Actual/Actual = PV*(1+r/m)^(m*t) = Market Price * Number of Outstanding Shares = Market Price * Number of Outstanding Shares * Free Float Factor = Profit After Tax (PAT)/Total no. of Equity Shares (Issued) = Market Price of the Share/Earnings per Share (EPS) = [Dividend per Share/ Market Price of Share]*100 = [(Highest Price of Share – Lowest Price)/ Market Price of Share]*100 = (Equity Share Capital + Reserves) /Total no. of Equity Shares (Issued) = Covariance (Index, Stock)/Variance (Index) = (Value today - Value of the previous day)/Value of the previous day = (Value of your money (equity) / Market value of investment) = 3.5 times volatility or 7.5% of the value of the transaction. =3.5 times volatility or 3 times the VaR of the index*√3 = 5 times the VaR of the index*√3 = 1.5 times the standard deviation of daily returns of the stock price in the last six months or 5% of the value of the position. = Total Purchases-Total Sales (Annual Coupon Amount / Market Price)*100 [1+r/m]n - 1 The number of days between two interest dates /[(The actual number of days in the current interest period) *( The number of coupons paid in a year)] Bond Price = ∑ C / (1 + r /m )^m*t C=Coupon r=YTM m=Number of times compounding happens in a year t=Time period in years Clean Price + Accrued Interest(undiscounted) Face Value (FV)/[1 + (YTM*Time period in years)] Settled purchase or open purchase: –ve sign (+ve balance in RBI’s books) Open sale: +ve sign (- ve balance in RBI’s books) Long trading position: +ve sign Short trading position: –ve sign Σ (PVCF/TPVCF)*T
Bond Price
Dirty Price Zero Coupon Bond Pricing Security Position
Trading Position Macaulay Duration
www.learnwithflip.com (page 1 of 2) (printed only on one side)
Treasury and Capital Markets
Modified duration Convexity Adjustment Convexity Measure Forward FX Rate Pre-Settlement Risk (PSR) MLIV Swap Difference Extreme Loss Margin (Currency Futures – USDINR) EWMA formula [Macaulay Duration]/[1 + (YTM/k)] k = is the number of interest periods in a year (Convexity measurement/2 )*(Δy)2 * 100 Where Δy is the change in yield. Σ(PVCF/Bond price)*(T^2) F = S * (1+Rq* Tq)/(1+Rb * Tb) Current Mark to Market (CMTM) + Maximum Likely Increase in Value (MLIV) Daily Factor Sensitivity × √(Contract Tenor) × Amount [Spot rate*Interest rate differential/100]*[No.ofmonths forward /12 Months] = 1% of the MTM value of the open positions. σn2 = λ σn-12 + (1- λ) un-12 σ – Volatility u – Data of Returns n – Date
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