1. Derivatives Flashcards
1
Q
- Forward price
A
1. S0 x (1+r)^T 2. (S0 - PVcf) x (1+r)^T 3. S0 x e^[(r - yield)xT]
2
Q
- Forward value
A
1. [FPt - FP0]/[(1+r)^(T-t)]
3
Q
- Quoted future price
A
QFP = FP/Conversion factor = (full price x (1+r)^T - AI_T - FV cashflow) / CF
4
Q
Swap interest rate
A
[1 - final z]/[total sum of all z]
z: discount factor
5
Q
discount factor z
A
1 / [1 + D x t/360]
6
Q
[Interest rate swap] Value to Payer
A
1. total sum z x (SFRt - SFR0) x NV
7
Q
Greek relationships
A
1. Delta, Rho: same relationship toward c and p 2. Gamma, vega: always possitive relationship toward c and p 3. Theta: always negative relationship toward c and p 4. Exercise price: opposite of Delta, Rho
8
Q
Vega, Gamma is highest when?
A
At the money
9
Q
[Swaption] What to do when Interest rate increase
A
1. Payer swaption 2. Swap component - Bond component
10
Q
[Equity Swap] Value to payer
A
PVfixed - St/St-1 * NA
11
Q
[Currency Swap] Value to payer
A
NA1 (r0 fixed x (total z) + final z) - NA2 x exchange rate x (r0 fixed x (total z) + final z)
12
Q
[Equity swap] Cashflow
A
NA x (equity return - floating rate x t/360)
13
Q
[FRA] Settlement amount at
1. t = 0
2. t = g
A
1. NA x [Lm - FRA0] x tm / (1 + Dm x tm) 2. NA x [FRAg - FRA0] x tm / (1 + D(T-g) x t (T-g)
Lm: MRR at m
14
Q
[FRA] FRA0 and FRAg
A
1. [(1 + LT x tT) / (1 + Lh x th) - 1] x 1/tm 2. [(1 + L(T-g) x t(T-g)) / (1 + L(h-g) x t(h-g)) - 1] x 1/tm
15
Q
[Option] Optimal hedge ratio
A
(c+ - c-)/(S+ - S-)
