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Treasury and Capital Markets
Formulae List
FV = PV*(1+r/m)^(m*t)
Market capitalization = Market Price * Number of Outstanding Shares
Market Capitalization (using free float) = Market Price * Number of Outstanding Shares * Free Float
Factor
Earnings Per Share (EPS) = Profit After Tax (PAT)/Total no. of Equity Shares (Issued)
Price to Earnings Ratio (P/E Ratio) = Market Price of the Share/Earnings per Share (EPS)
Dividend Yield (%) = [Dividend per Share/ Market Price of Share]*100
Volatility (%) = [(Highest Price of Share Lowest Price)/ Market Price of
Share]*100
Book Value of Share = (Equity Share Capital + Reserves) /Total no. of Equity Shares
(Issued)
Beta () = Covariance (Index, Stock)/Variance (Index)
Returns = (Value today - Value of the previous day)/Value of the
previous day
Maintenance margin = (Value of your money (equity) / Market value of investment)
VaR Margin (Group I) = 3.5 times volatility or 7.5% of the value of the transaction.
VaR Margin (Group II) =3.5 times volatility or 3 times the VaR of the index*3
VaR Margin (Group III) = 5 times the VaR of the index*3
Extreme loss margin (Stock) = 1.5 times the standard deviation of daily returns of the stock
price in the last six months or 5% of the value of the position.
Current Yield (Annual Coupon Amount / Market Price)*100
Annualized Coupon [1+r/m]
m
- 1
Actual/Actual The number of days between two interest dates
/[(The actual number of days in the current interest period) *(
The number of coupons paid in a year)]
Bond Price Bond Price = C / (1 + r /m )^m*t
C=Coupon
r=YTM
m= compounding frequency,
t=Time period in years
Dirty Price Clean Price + Accrued Interest(undiscounted)
Zero Coupon Bond Pricing Face Value (FV)/[1 + (YTM*Time period in years)]
Macaulay Duration (PVCF/TPVCF)*T
Modified duration [Macaulay Duration]/[1 + (YTM/k)]
k = is the number of interest periods in a year
Convexity Adjustment (Convexity measurement/2 )*(y)
2
* 100 Where y is the
change in yield.
Convexity Measure (PVCF/Bond price)*(T^2)
Forward FX Rate F = S * (1+R
q
* T
q
)/(1+R
b
* T
b
)

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Treasury and Capital Markets

Pre-Settlement Risk (PSR) Current Mark to Market (CMTM) + Maximum Likely Increase in
Value (MLIV)
MLIV Daily Factor Sensitivity (Contract Tenor) Amount
Swap Difference [Spot rate*Interest rate differential/100]*[No.ofmonths
forward /12 Months]
Extreme Loss Margin (Currency Futures
USDINR)
= 1% of the MTM value of the open positions.
EWMA formula
n
2
=
n-1
2
+ (1- ) u
n-1
2

Volatility
u Data of Returns
n Date