Fixed Income Investments Flashcards
1
Q
EAR to BEY
A
[(1 + EAR)1/2 - 1]2
2
Q
Z-Spread
A
Option Cost + Option Adjusted Spread
3
Q
Effective Duration
Dur
A
P- - P+
——————
2 * BPS► * P
Percent change in value based on a 100 basis point change in interest rates.
4
Q
Duration Effect
A
Dur * BPS►
5
Q
Convexity Effect
A
Convexity * (BPS►)2
6
Q
Price Value of a Basis Point
PVBP
AKA: Dollar Duration
A
Dur * .0001 * P
7
Q
Yield Ratio
for Tax Exempt Bonds
A
Tax-Exempt Yield
——————————
US Treasury Yield
8
Q
Clean Price
A
Agreed upon price excluding accrued interest.
