Fixed Income

 0    23 schede    wojtekdabek398
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Domanda Risposta
[(V +) + (V-) - 2 x V] / ((change in bps) ^ 2 x V)
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[(V+) + (V-) - 2 x V] / ((change in bps)^2 x V)
conversion ratio
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Par value / Conversion price
Conversion value
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Conversion ratio x underlying share price
Current yield
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Annual cash payment / Bond price
Accrued interest
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coupon value x (t/T)
Interest coverage ratio
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EBIT / interest expenses
EBITDA
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Operating income + Depreciation + Amortization
G-spread
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YTM on a corporate bond - YTM on a benchmark bond
Coupon / (1 + spot rate1 / 2) + Coupon / (1 + spot rate2 / 2) ^ 2 + ... + Coupon + principle / (1 + spot raten / 2) ^ n
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Coupon/(1 + spot rate1/2) + Coupon/(1 + spot rate2/2)^2 + ... + Coupon + principle/(1 + spot raten/2)^n
convexity adjustment
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0.5 x Annual convexity x yield change^2
% change in price of Bond
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(-annual mod. duration x yield change + 0.5 x annual convexity x yield change^2) x100
Running yield
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Annual coupon / Bond price
Bank discount yield
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((Face value - Price) / Face value) x 360 / Days to maturity
YTM = real rate of return + expected inflation +
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YTM = realna stopa zwrotu + oczekiwana inflacja + premium for credit risk + premium for lack of liquidity
Flat price of the bond
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Full price - Accrued interest
Accrued interest
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Coupon payment x (t/T)
Full price of the bond
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Value on the coupon date x (1 + YTM/2)^(t/T)
Coefficient of variation
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Standard deviation / Mean
Free cash flow
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Cash flow from operations - Capital expenditures
Current inventory turnover
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COGS / Inventory turnover
Variable costs
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Variable costs / Revenue x New revenue level
Interest expenses
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Total capital x Weight of debt x Cost of debt
Weight of debt
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D / (D + 1)
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