Formula Sheet 5 - Fixed Inc, Derivatives & Alternatives

http://www.cpa-cfa.org
What are the two types of covenants?
1.

2.

Floating bond coupon rate =

Deleveraged floaters coupon rate =

Inverse floaters coupon rate =

Interest rate sensitivity factors chart

Interest rate sensitivity =

Define and describe Effective duration (DE) -

Define an describe dollar duration -

Define and describe convexity =

% change in price using convexity =

Price value of a basis point =

1
 Formula Sheet 5 - Fixed Inc, Derivatives & Alternatives
http://www.cpa-cfa.org

Price of callable bond =

Price of putable bond =

Taxable equivalent yield =

After tax yield =

Define and describe international bonds
•
-
-
-

•
-
-
-

Define the pure expectations theory

Define the liquidity preference theory -

Define segmentation theory

Bid ask spread =

Absolute spread =

Yield ratio =

2
 Formula Sheet 5 - Fixed Inc, Derivatives & Alternatives
http://www.cpa-cfa.org

Relative yield spread =

Nominal spread =

Zero-volatility spread =

Option adjusted spread =

Draw the graph

What are the three kinds of credit risks?

•
•
•

Explain arbitrage-free approach

-

Current yield =

YTM =

Yield to worst =

Define and describe BEY =

3
 Formula Sheet 5 - Fixed Inc, Derivatives & Alternatives
http://www.cpa-cfa.org

Define and describe EAY =

Cash flow yield =

Bootstrapping -

m t f =

Define exchanged traded derivatives -

Define an over the counter (OTC) traded derivatives -

Define futures contracts -

-
-
-
Define options agreements -
-
-
Define forward contracts -
-
-
-
Define swap agreements -
-
Define and describe forward rate agreements (FRA) -

4
 Formula Sheet 5 - Fixed Inc, Derivatives & Alternatives
http://www.cpa-cfa.org

Futures gain/loss =

T-bill and Eurodollar contracts: Futures price =

T-bonds contracts: Futures price =

Stock index futures: Cash settlement =

Currency futures: gain/loss =

Intrinsic value call option =

Intrinsic value put option =

Time value premium for an option =

Put-call parity equations

Define the interest rate options

5
 Formula Sheet 5 - Fixed Inc, Derivatives & Alternatives
http://www.cpa-cfa.org

Min European call value

Min European put value

Define a covered call strategy -

-

Define a protective put strategy -

-

Define a portfolio insurance strategy -

NAV =

Value of real estate =

Mutual fund: Dollar return =

VC: Enterprise value =

Hedge fund: Total fee =

6
 Formula Sheet 5 - Fixed Inc, Derivatives & Alternatives
http://www.cpa-cfa.org

After fee return =