FI Flashcards
1
Q
Forward rate model
A
(1+Sb)^b = (1+Sa)^a * (1+f a,b-a)^b-a
2
Q
Effective duration
A
(PV- - PV+)/ 2*PV0 * Deltacurve
3
Q
Effective convexity
A
(PV- + PV+ - 2PV0) / Deltacurve^2 * PV0
4
Q
Conversion value
A
Market price stock * conversion ratio
5
Q
Market conversion price
A
Market price bond / conversion ratio
6
Q
Premium over straight
A
Market price bond / straight value -1
7
Q
Prob default
A
((Par+coupon)(1-p*) + ( rec rate * par + coupon))/ 1+rf
8
Q
Change in credit rating
A
-mod duration * (new-old spread) + coupon
9
Q
- Exposure
A
Par/(1+r)^t-T
10
Q
- Loss geven default
A
LGD = exposure- recovery
11
Q
- Expected loss
A
LGD * POD
11
Q
- Discount factor
A
1/(1+r)T
12
Q
- PV expected loss
A
Expected loss * discount factor
13
Q
Upfront payment CDS
A
(Credit spread - fixed coupon) * duration
14
Q
Price CDS
A
100- upfront payment%
