Quick algebra Flashcards
1
Q
What is the discount factor formula?
A
(Price-coupon%(sum(previous DFs))/(Nominal(1+coupon%)
2
Q
How do you find the ZC rates using the discount factor?
A
((1/DFn)^(1/n))-1
3
Q
How do you find the forward rates?
A
((1+rate total years)^n/(1+rate in how many years)^i)^(1/n)-1
4
Q
How do you find 1 year foward rates using DC?
A
Dfstarts/Dfends-1
5
Q
How do you find the Macaulay duration?
A
Sum(PV*i)/P
6
Q
How do you find the modified duration?
A
MCdur/(1+ytm)
7
Q
How do you find the convexity?
A
sum(PVi(1+i))/((P*(1+ytm)^2)
8
Q
How do you calculate the price of a bond using the modified duration?
A
Price (y’)=(price y -modifieddurP(y’-y))+(0.5convexityP*(y’-y)^2)
