Читать книгу Mathematical Techniques in Finance - Amir Sadr - Страница 14

bpbasis points, 1% of 1%, 0.0001future valueIRRinternal rate of returnPnLprofit and losspresent valueYTMyield to maturityp.a.per annumdiscount factor, today's value unit payment at future date dicount factor at for unit payment at interest ratecompounding interest rate with compoundings per yearyieldAPRannual percentage rate – stated interest rate without any compoundingsAPYannual pecentage yield – yield of a deposit taking compoundings into consideration: for compoundings per yearCFcash flowcoupon rateprice of an ‐year bond with coupon rate , paid times per year, with yield accrual fraction between 2 dates according to some day count basisclean price of a bond = Price accrued interestprice of an ‐year zero‐coupon bond with yield , compoundings per yearprice of an ‐year annuity with annuity rate of , paid times per year, with yield price of ‐maturity Treasury Bill with discount yield PV01present value change due to an ”01” bp change in yieldPVBPpresent value change due to a 1 bp change in coupon, present value of a 1 bp annuitybalance of a level pay loan after periodsprincipal and interest payments of a level pay loan in the th periodprice of ‐year level pay loan with loan rate of , paid times per year, with yield ALaverage lifebalance of a level pay loan after periods with prepaymentsprincipal and interest payments of a level pay loan within the th period with prepaymentsSMMsingle monthly mortality rateCPRconstant prepayment ratioperiodic prepayment speedutility of wealth lottery is preferred to certainty‐equivalent of random payoff , absolute risk premium, relative risk premium, , value, value of a portfolio, value of th assetquantity, priceweight of th asset in a portfolio, return of an asset over a period : . Can be divided by to give rate of returnasset 's return, with mean and standard deviation ,Cmean vector, standard deviation vector, and covariance matrix of asset returnsreturn of a risk‐free assetmarket portfolio, return of the market portfoliobeta of an asset , empirical estimate of arithmetic average of samples of , forward date, future dateforward value of asset at time for forward date ‐value of a forward agreement on asset for forward date and price simple (noncompounding) forward rate that can be locked at for forward deposit period . The first term may be omitted when .continuously compounding forward rate that can be locked at for forward deposit period . The first term may be omitted when .FXforeign currency exchange ratedomestic and foreign interest rates for forward exchange rate calculationsthe ‐forward exchange rate that can be locked at today's value of an asset today's value of a contingent claim generic random sample pathvalue of a money‐market account at time along sample path normal or Gaussian random variable with mean and variance lognormal random variable whose log is CDFcumulative ditribution functionpdfprobability density functionpmfprobability mass functioncumulative distribution function of a standard () normal random variable, probability density function of a standard normal random variable, BMBrownian motionBrownian motion at time along sample path proportional, lognormal volatilityATM, ATMFat‐the‐money spot, at‐the‐money forwardDirac's delta function, absolute, normalized volatilityCMSconstant maturity swap rateAD, Arrow‐Debreu price, today's price of unit payoff at state on future date i.i.d.independent and identically distributed