Formulas Flashcards
1
Q
bond equivalent yield of an annual-pay bond
A
2
Q
annual pay yield (EAY) from the YTM of a semiannual-pay bond
A
3
Q
relation between forward rates and spot rates (two periods)
A
4
Q
relation between forward rates and spot rates (three periods)
A
5
Q
effective duration
A
6
Q
price change based on effective duration and change in yield
A
7
Q
price change based on duration and convexity
A
8
Q
price value of a basis point (PVBP)
A
9
Q
return impact (% change in bond price) from large spread changes
A
10
Q
return impact (% change in bond price) for small spread changes
A
