CFA Level II

Formula Sheet 7 – Derivatives

http://www.cpa-cfa.org
Derivatives

Fwd price = FP =
•
•

value of fwd at initiation =

•
•

value of fwd at any time t =

•
•

value of fwd at expiration =

fwd price with discrete dividends = FPDDiv =

PV of discrete dividends =

value of fwd with DDiv at any time t =

fwd price with continuous dividends = FPCDiv =

Continuous rf =

value of fwd with CDiv at any time t =

fwd price with of bond = FPBond =

PV of coupons =

value of fwd with bond at any time t =

____ x _____ FRA =

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 CFA Level II
Formula Sheet 7 – Derivatives
http://www.cpa-cfa.org

Rate on ____ x ____ FRA =

Rate on ____ x ____ FRA ____ days later =

Rate on ____ x ____ FRA at expiration =

•
•

fwd price on currency = FPFX =

•
•

value of FX fwd at any time t =

•
•

fwd price on currency with cont. comp. = FPFXc =

value of FX fwd with cont. comp. at any time t =

Futures price0 =
•
•

FV of coupons =

Futures price with conversion factor =

Continuous div =

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 CFA Level II
Formula Sheet 7 – Derivatives
http://www.cpa-cfa.org

Put-call parity:

•
•
•
•
One period binomial formulas

S+ =

S- =

Max c+ = Max p+ =

Min c- = Min p- =

Pie =

c0 =

Hedge amount = n =
•

Two period binomial formulas

S++ =

S+ - =

S -- =

Max c++ =

Mid c+ - =

Min c - - =

Pie =
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 CFA Level II
Formula Sheet 7 – Derivatives
http://www.cpa-cfa.org

c1+ =

c1- =

c0 =

Hedge amount at current price = n =

Hedge amount at S+ = n+ =

Hedge amount at S - = n - =

Delta -
•
•
•

Gamma -
•

Rho -

Theta -

Vega -

Black Model

Change in Call =

Change in Put =

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 CFA Level II
Formula Sheet 7 – Derivatives
http://www.cpa-cfa.org

Swaps are based on _________ days

Fixed rate swap (4 pmts) = FS0 =

•

PV factor = PVF =

PFV n days away =

PV of notional + fixed pmts =

PV of notional + floating pmts =

Value of equity swap =

•
•

MV at expiration of receiver swaption =

•

Libor payoff with cap =

Libor payoff with floor =