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Could you please label/annotate/explain what each formula does. (The subject is derivative securities). FIN2FDR formula sheet St = S.(1+r) Sp = S(1+)mt S = Sept
Could you please label/annotate/explain what each formula does. (The subject is derivative securities).
FIN2FDR formula sheet St = S.(1+r) Sp = S(1+)mt S = Sept rc = mln(1 + r=me"/m - 1) P= C C C + + 1+r'(1+r)2 (1+r) + ... + C F (1 + r)? (1+r)" P= Ce-*1 + Ce-r 2 + Ce-3 + ... + Ce-rT + Fe-re? PV(FRA payoff) = L(RM-R (T2-T) 1+RMT-7:) RT-RT T, -T F, = (s. - 1)(1+r)' or F. = (S.-I)e" F. S*-) F, =S;) F = Soere) F. =(S,+U)e" F, = Ser? f = So-1 - Ke" f = Soe? - Ke os N =(B2B) N* = B h=p cov(AS, AF) var(AF) N = OF c+ Ke" =p+S P -d u-d In(S/K)+[r+o/2] NT f. - La f = [pf. +(1-P)Sale" A= Su-Sed In((S - PVD)/K)) +[r+o/2]7 NT c = [S - PVD]N(0) - Ke "N(d) d, = d, -01T C = SN (d) - Ke" (d) p = Ke "[1 N(d)] S[1 Nd.)] p= Ke "[1-N(d)]-(S-PVD)[1 N(d)] FIN2FDR formula sheet St = S.(1+r) Sp = S(1+)mt S = Sept rc = mln(1 + r=me"/m - 1) P= C C C + + 1+r'(1+r)2 (1+r) + ... + C F (1 + r)? (1+r)" P= Ce-*1 + Ce-r 2 + Ce-3 + ... + Ce-rT + Fe-re? PV(FRA payoff) = L(RM-R (T2-T) 1+RMT-7:) RT-RT T, -T F, = (s. - 1)(1+r)' or F. = (S.-I)e" F. S*-) F, =S;) F = Soere) F. =(S,+U)e" F, = Ser? f = So-1 - Ke" f = Soe? - Ke os N =(B2B) N* = B h=p cov(AS, AF) var(AF) N = OF c+ Ke" =p+S P -d u-d In(S/K)+[r+o/2] NT f. - La f = [pf. +(1-P)Sale" A= Su-Sed In((S - PVD)/K)) +[r+o/2]7 NT c = [S - PVD]N(0) - Ke "N(d) d, = d, -01T C = SN (d) - Ke" (d) p = Ke "[1 N(d)] S[1 Nd.)] p= Ke "[1-N(d)]-(S-PVD)[1 N(d)]
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