2012 cfa二级calculation带公式版本

7/31/2019 2012 CFA calculation

1/22

Leading Global Wealth Management Practice page 1

Copyright 2012 WMICHINA All Rights Reserved.

Qua n t i t a t ive r e f t o B ook 1

P a ge :

144 : Tes t of s igni f icance for the cor r e la t ion coeff ic ien t

2

2 , 21

r nt df nr

151: Ca lcula t ing th e con f iden ce in te r va l for a r egress ion coef ficien t

( )jj c bb t s 152: Hypo the s is te s t for s igni fican ce of regr ess ion coeff ic ien ts

j j

j j j

b b

b b bt

s s

-

= =

153 : P r e d ict ing the De pe nd e n t Va r i a b le

0 1

pY b b X

154: Con f iden ce in te r va l for a pr edic ted va lue

( )s fY t s

22 2

2

1 ( )1

( 1)f

x

X Xs SEE

n n s

157: Usin g th e ANOVA tab le

Source of variation Degree of freedom Sum of squares Mean sum

of squares

Regression (explained) k = 1 RSSMSR=

RSS

K

Error (unexplained) n-2 SSEMSE =

SSE

2n

Total n-1 SST

2 Explained variation(RSS) SST-SSE=Total Variatio(SST) SST

R 2

SSESEE MSE

n

159: Ca lcula t ing an d in te r pr e t ing the F-s ta t i s t ic r e g r e s s ion

183 : Ca lcula t ing and in te r pr e t ing the F-s ta t i s t ic m ul t ip le r e g r e s s ion

/

SSE / ( 1)

MSR RSS k

MSE n k

176: Tes t in g the s ta t i s t ica l s ign i fican ce of a r egress ion coef fic ien t

178: Tes t ing r egress ion coeff ic ien ts ( tw o- ta i l te s t )

178: Tes t ing regr ess ion coeff ic ien ts (on e- ta i led te s t )


2/22



1

1 1

b

b bt

s

179: Ca lcula t ing a con f iden ce in te r va l for a r egress ion coef ficien t

1 11 1( , )c cb bb t s b t s

185: Ca lcula t ing R2 an d ad jus ted R2

2 Explained variation(RSS) SST-SSE=Total Variatio(SST) SST

R 2 21

1 (1 )( 1)

a

nR R

n k

186 : Us ing a n ANOVA ta b le w i th r e g r e s s ion ou tp u t

192 : Hypo th e s i s t e s t ing w i th d um m y va r i a b le s

196 : The B r e usc h - P a ga n t e s t

BP chi-square test = n2

residR (df = k)

197 : Us ing Wh i t e -c o r r e c t e d s t a nda r d e r r o r s

20 0 : The Dur b in - Wa tson t e s t fo r s e r i a l c o r r e l a t ion

2

1

2

2

1

T

t t

t

T

tt

DW

DW 2(1 - r), for very large-sized sample

220 : Us ing a L ine a r T r e n d M ode l

0 1 ( )t

Y b b t 0 1

( )t t

y b b t

224 : Log-L ine a r T r e nd M ode l

0 1ln( ) ( )ty b b t

228 : F o r e c a s t ing

231: Tes t ing an AR m ode l for pr oper spec i fica t ion

230 : M e a n-r e ve r t ing t im e se r i e s

0

11t

bxb


3/22



235: F ir s t d i ffe ren c in g

237: De tec t ing season a l i ty

239 : Cor r e c t ing f o r s e a son a l ity in a t im e -se r i e s m ode l

240 : F o r e c a s t ing w i th a n Au to r e g r e s s ive M ode l

242: ARCH (1) t im e se r ies


4/22



Ec onom ic s r e f t o B ook 1

P a ge :

262: The r u le of 70

Approximate years to double = 70 / growth rate

265 : One - th i r d r u l e a pp l i e d to p r odu c t iv ity spe e du p

y/y = (1/3) (k/k) + T/T

30 2 : Cr oss r a t e c a lc u la t ion

When the base currencies in the FX rate quotations are different, multiply down

(bid*bid, ask *ask)

When the base currencies are the same, divide cross (bid/ask, and ask/bid), the

larger value will be the ask, the smaller value will be the bid for the cross rate pair.3 0 5 : F o r w a r d F X Tr a n s a c ti o n s

3 0 7 : An n u a l iz ed f o r w a r d r a t e p r e m i u m a n d d i s co u n t

3 0 8 : Ca l cu l a t in g t h e f o r w a r d p r e m i u m / d i s co u n t

360100%

forward spot

spot days

OR12

100%.

forward spot

spot No monthsforward

3 0 9 : F o r w a r d p r e m i u m s o r d i sc ou n t s fr o m i n t e r e s t r a t e p a r i t y

30 9 : Cove r e d I n t e r e s t Ar b i t r a ge

324 : C a lc u la t ing th e e xc ha nge r a t e p r e d ict e d b y r e l a t ive P P P

t

t Xt 0

0 Y

E(S ) 1+I= ; S ,S X/Y

S 1+I

326 : Ca lcu la t ing the r e a l in t e r e s t r a t e

nominal A real A

nominal B real B

1+R (1+R )[1+E(inflation A)]

=1+R (1+R )[1+E(inflation B)]

Rnominal A Rnominal B = EinflationA- EinflationB

327: Us ing the in t e r n a t iona l F i she r r e l a t ion

)(1

)(1

r1

r1

DC

FC

DC

FC

iE

iE

)()( DCFCDCFC iEiErr

328 : F o r e c a s t ing spo t r a t e s w i th un c ove r e d in t e r e s t r a t e pa r i ty

1

0

1 ( ) 1( ), ( )

1 ( ) 1

FC FC FC DC

DC DC

E r rE sE s r r

s E r r


5/22



F ina nc ia l s t a t e m e n t a na lys i s r e f t o B ook 2

P a ge :

12 : I nve n to r y cos t f low m e thod

16: Con ver t ing en din g in ventor y and COGS fro m LIFO to FIFO

invFIFO = invLIFO + LIFO reserve

COGS FIFO = COGS LIFO LIFO reserve

Tax saving = LIFO reserve * t

24 : I nven to r y wr i t e down

Under IFRS: Lower of cost or NRV, NRV = sales price - selling cost

Under US. GAAP: Lower of cost or market (replacement cost), NRV < Market < NRV

Normal profit margin

38 : Ef fec t of capi ta l izing in te re s t

43 : E ffe c t o f de p r e c ia t ion m e thod s on n e t inc om e

45 : Cha n ge in d e p r e c ia t ion e s t im a te

47 : Asse t im pa i r m e n t

IFRS: Annually, CV vs. recoverable amount (FV-selling cost), can be reversed

US. GAAP: Tested, two steps: recoverability test, CV vs. expected future cash flow then

measuring the loss, CV vs. recoverable amount (FV-selling cost)

50 : Ca lcula t ing average age an d aver age depr ec iab le l if e

52: Accoun t ing for lease

59: Direc t finan c ing lease

70 : I nve s tm e n t in f ina nc ia l a s se t s

74 : I m p l em e n t i n g t h e e q u i t y m e t h o d

Security Classification

Trading Available-for-Sale Held-to-Maturity

Carrying

value(Balance

sheet)

Fair market

value

Fair market value with

unrealized G/L in equity

Amortized cost

income

recognition

Dividends.

Interest.

Realized G/L.

Unrealized G/L

Dividends.

Interest.

Realized G/L

Interest.

Realized G/L


6/22



One line consolidation Basic

Initially recorded at purchase price (cost)

Subsequent periods

B/S Cost + (share results dividends) * %

I/S Earnings pickup (% share of NI)

75: Al loca t ion of pur cha se pr ice over BV acquired

Goodwill: = purchase price pro-rata BV of NA excess allocation to equipment

One line consolidation Basic + additional depreciation

Initially recorded at purchase price (cost)

Subsequent periods

B/S Cost + (share results dividends- excess allocation to

equipment depreciation) * %

I/S (share resultsexcess allocation to equipment depreciation) *%

82 : Goodwi ll und e r c on so l ida t ion

Full GW Partial GW

Allowed in both US GAAP and IFRS

= consideration / % of interests acquired

fair value of net assets

MI is stated (% of MI shareholders own)

(consideration / % of interests acquired)

Only allowed under IFRS

= consideration fair value of net assets X

% of interests acquired

MI is stated (% of MI shareholders own) X

FV of net assets

84 : I m pa i r e d goodwi l l

IFRS: CV of reporting unit > recoverable amount

US GAAP: two steps

- CV > FV of reporting unit

-CV of goodwill -Implied FV of goodwill

113 : Ec onom ic pe ns ion e xpe nse

(Plan assetend- Plan assetbeg)- (PBOend- PBObeg) - employers contribution

115: Reclass i fy in g pen s ion exp en se for an a ly t ica l pur pos e

13 6 : Cu r r e n t r a t e m e t h o d

14 0 : Te m p o r a l m e t h o d

149 : Adjus t ing fina n c ia l s ta tem en ts for inf la t ion

179 : Ca lcu la t ing a c cr u a l s u s ing the b a la nc e she e t a pp r oa c h a nd the c a sh f low

s t a t e m e n t a p p r o a c h


7/22



Accrual ratio, (AR)B/S = AAB/S /[(NOAt + NOAt 1)/2]

ARC/F = AAC/F /[(NOAt + NOAt 1)/2]

AAB/S = NOAt NOAt 1

and NOA = (total assets cash) (total liabilities total debt)

213: Ca lcula t ing Mar ke t va lue decom pos i t ion


8/22



Cor p or a te fina n c e r e f t o B ook 2

234 : Expa ns ion p r o je ct a n a lys i s

Initial outlay = FCInv. + NWCInv.

After-tax operating cash flows: CF = (S-C-D)*(1-T)+D=(S-C)*(1-T)+T*D

Terminal year after-tax non-operating cash flows: TNOCF =[ SalT - (SalT BT)*T] +

NWCInv

238 : R e p la c e m e n t p r o je ct a n a lys i s

Initial outlay = FCInv + NWCInv [Sal0 -T*(Sal0 B0)]

Incremental operating cash flows = (S - C)*(1-t) + D*t

Terminal CF = [ SalT - (SalT BT)*T] + NWCInv

242 : P r o je ct s w i th un e qua l li ve s_ EAA a p r oa c h

249 : P r odu c t ion- flexib i li ty opt ion

252 : Econ om ic a n d a c c oun t ing inc om e

economicincome=aftertaxcashfloweconomicdepreciation

economicdepreciation=beginningmarketvalueendingmarketvalue

255: Econom ic pr of it

EPt=PVt1*WACC

299 : E ff ec t ive t a x r a t e un de r a do ub le t a xa t ion sys t e m

30 0 : E ffe c t ive t a x r a t e u nd e r a sp l it -r a t e sys t e m

30 1: E ffe c t ive t a x r a t e un de r a n im p u ta t ion sys te m

30 2 : Expe c ted d iv ide n d ba se d on a t a r ge t pa you t a pp r oa c h

Expecteddividend=Divt1+EPSt+1*targetpayoutratio*adjustmentfactor

3 4 2 : Bo o t s t r a p p i n g e a r n i n g s p e r s h a r e

351: HH I

IndexHHI=2

1

( 100)n

i

i

MS

359 : Va lu ing a m e r ge r t a r ge t u s ing c om p a r a b le com pa n y a n a lys i s


9/22



362 : Va lu ing a m e r ge r t a r ge t u s ing com pa r a b le t r a nsa c t ion a n a lys i s

367 : Eva lua t ing a m e r ge r b id

VAT=VA+VT+SC(S=synergies,C=cashpaidtotarget)

GainstoTarget:GainT=TP=PT VT

GainstoAcquirer:GainA=S TP=S(PTVT)

Priceoftargetinstockdeal:PT=N PAT


10/22



Equ i ty r e f t o B ook 3

74 : E m e r g i n g m a r k e t

FCF = NOPLAT +Dep Fcinv Wcinv

NOPLAT = EBIT TAXES

96 : One - pe r iod DDM

0

1 (1 )t

tt

DV

r

97 : Two- pe r iod DDM

0 00

1

(1 ) (1 ) (1 )

(1 ) (1 ) ( )

t nns s L

t nt L

D g D g gV

r r r g

98 : Thr e e - pe r iod DDM

10 0 : GGM

0 10

(1 )D g DV

r g r g

114: H -m ode l

0 0(1 ) ( )L s Lo

L

D g D H g gV

r g

10 2: PVGO

V0=E0/r+PVGO

119 : SGR

g=bROE=bROAL=b (netprofitmargin) (assetturnover)L

144 : FCinv wi th long te r m asse t

FCinv=gross PP&Eend - gross PP&Ebeg

OR revised FCinv = capital expenditures proceeds from sales of long term assets

14 9: F CFF & FCFE

FCFF==[NI+NCCWCInv]+Int(1T)FCInv

FCFE=FCFF IntX(1 t)+Netborrowing

NCC

Depreciation(+)

Amortizationofintangibles(+)

Restructuringcharges(expense)(+)

Restructuringcharges(incomeresultingforreversal)()

Amortizationoflongtermbonddiscounts(issuer)(+)

Amortizationoflongtermbondpremiums()

Deferredtaxes(+)


11/22



Fromnetincome

FCFF=NI+NCC+IntX(1 t)FCInvWCInv

FCFE=NI+NCCFCInvWCInv+Netborrowing

Fromcashflowstatement

FCFF=CFO+IntX(1t)FCInv(underUSGAAP);

FCFE=CFOFCInv+Netborrowing

UnderIFRS,interestpaidcouldberecognizedaseitherCFOorCFI.

WhenderivingtheFCFfromCFO,payattentiontotheinterestspaid.

FCFFvs.EBIT&EBITDA

FCFF=EBITX(1t)+DepFCInvWCInv;

FCFF=EBITX(1t)+DepXtFCInvWCInv;

ForecastingFreeCashFlow

FCFE=NI(1DR)(FCInvDep)(1DR)WCInv

160 : S ingle s tage

ForFCFFvaluation: 1o

FCFFV

WACC g

ForFCFEvaluation: 1o

F C F F V

r g

160 : Two s tage

1

1

1

(1 ) ( ) (1 )

nt n

t nt

FCFF FCFF Firm value

WACC WACC g WACC

1

1

1(1 ) ( ) (1 )

n t n

t nt

FCFE FCFEEquity valuer r g r

194 : Nor m a l iz e d e a r n ing

197: Ju s t i fied P / E

leading: 11

/b PR

P Er g r g

Trailing: 0 (1 )(1 ) *(1 )/ b g PR gP Er g r g

198 : J us t i fi e d P / B

--Justified P/B= 1

- -EROE rROE g

r g r g

198 : J us t i fi e d P / S

0 0 0

0

( / )(1 )(1 )P E S b gS r g


12/22



20 1: P r e d ic t e d P /E

20 5 : P EG

/P EPEGg

2 0 8 : P / CF

20 9: EV/ EBITDA

EV=marketvalueofcommonstock+marketvalueofpreferredequity+marketvalueof

debt+minorityinterestcashandinvestments230 : RI

234: RI va lua t ion

RI=netincomeequitycapital*costofequity

RIt=Et(rBt1)=(ROEr)Bt

31 20 0 1 2 3

...(1 ) (1 ) (1 )

RIRI RIV B

r r r

230 : EVA an d MVA

EVA(economicvalueadded)=NOPATWACCTotalcapital=EBIT(1t) $WACC

$NOPAT WACC

EVA Spread ROC WACC

Invested capital Invested capital

241-243: Ca lcula t ing va lue w i th a m ul t i s tage RI mo de l

V0=B0+(PVofinterimhighgrowthRI)+(PVofcontinuingresidualincome)

PVofcontinuingresidualincomeinyearT1= r

RIT

1,persistencefactor0 1 .

PVofcontinuingresidualincomeinyearT1=( )

1T T TP B RI

r

267 : Ca lcu la t ing no r m a l iz e d e a r n ings fo r p r iva te com pa n y

268 : I nc o r p o r a t ing syne r g ie s

273 : CCM

1firm

FCFFV

WACC g

1Equity

FCFEV

r g

273: EEM


13/22



279: GPCM

28 1: GTM

285 : D isc oun t fo r p r iva te c om pa ny

1

11

DLOCcontrol premium

Totaldiscount=1[(1DLOC)(1DLOM)]


14/22



Alte rna t ive r e f t o B ook 4

14: Va lua t ion r ea l e s ta te

1 1 1

nt

t nt

ATCF ATERNPV I

r r

ATCF=NOIAnnualdebtservicetaxpayable

NOI=potentialgrossincomevacancyandcollectionlossesoperatingexpenses

Taxpayable=taxableincome*taxrate,Taxableincome=NOItaxdepreciationinterest

ATER=salespricesellingexpensesmortgagebalanceoutstandingtaxesonsale

Taxesonsale=taxondepreciationrecapture+taxoncapitalgain

28 : Va lua t ion c a p i t a li za t ion r a t e

Directincomecapitalization 00

NOIR r g MV

bandofinvestmentmethod(BOI)

R0=(mortgageweight*mortgagecost)+(equityweight*equitycost)

mortgage cost:mortgage cost = annual interest cost + sinking fund factor (T*12 N,

r*100/12I/Y,0PV,1FV,CPTPMT*12assinkingfundfactor);OR,(T*12N,r*100/12I/Y,

1PV,0FV,CPTPMT*12asthemortgagecost,risannualinterestcost)

buildupmethod

R0=Pureinterestrate(interestrateofgovernmentbond)

+Liquiditypremium(thepremiumfortheilliquidnatureofrealestate)

+Recapturepremium(thereturnofinvestmentnetofappreciation)

+Riskpremium(thepremiumrequiredforriskexposureofagiveninvestment)

32 : R e la t ive va lua t ion on r e a l e s t a t e

MV=grossincomegrossincomemultiplier(M);Msale price

gross income

48 : Ca lcu la t ing pa yof f m u l t ip le s a n d I R R s f o r e qu i ty inve s to r s

54 : Ca lcu la t ing ca r r i e d in t e r e s t w i th a hu r d le r a t e

55 : App ly ing d i s t r ibu t ion w a te r f a l ls m e thod s

62 : Ca lcu la t ing pe r fo r m a n c e m e a su r e s

6 8 : C a lc u la t in g s h a r e s i ss u e d a n d s h a r e p r i c e fo r a s e c o n d r o u n d f in a n c in g

PRE+INV=POST PRE=POSTINV POST=FV/(1+r)N

f=INV/POST

Steps:

Determinethepostmoneyvaluation:POST=V/(1+r)t


15/22



Determinethepremoneyvaluation:PRE=POSTI;

Determinetheownershipfraction:F=I/POST;

ObtaintheNo.ofshares:y=x[F/(1F)]

Obtainthepriceofshares:p1=I/y;

70 : Ad jus t ing the d i scoun t r a t e f o r t h e p r oba b i l it y o f f a ilu r e

1* 1

1 1

r rr

71: S ce na r io a na lys i s t o a r r ive a t a n e xpe cte d t e r m ina l va lue


16/22



F ixe d inc om e r ef to Book 4

112: An alyzin g cap ita l izat ion r a t ios

Long-term debt to capitalization ratio

longterm debtlongterm debt+minority interest+common&preferred equity

current liabilities

current liabilit

Total debt to capitalization ratio

+longterm debt

+longterm debt+minority interest+common&preferred eqi yes uit

113: Analyzing covera ge ra t ios

EBITDA

annual interest expense

EBIT

annual interest expense

147: Com pu t ing the e f fect of a non pa ra l le l sh i f t in th e y ie ld cur ve

149 : Ca lcu la t ing c on t inu ous ly-c om p oun de d y ie ld c ha n ge s

168 : Va lu in g a ca l lab le bo n d

170 : Va lu ing a n e m be dd e d c a l l op t ion

ca ll non ca llab le ca lla bleV V V

put putable nonputableV V V

174: Relat ive OAS valua tion

179-18 1:

Ca lcu la t ing the m in im u m va lue o f a c onve r t ib le bon d

Ca lcu la t ing m a r k e t c onve r s ion p r i ce

Ca l cu l a t in g m a r k e t c o n ve r s i o n p r e m i u m p e r s h a r e

Ca l cu l a t in g m a r k e t c o n v e r s io n p r e m i u m r a t i o

Ca lcu la t ing p r e m ium pa yba c k pe r iod

Ca lcu la t ing p r e m ium ove r s t r a igh t va lue

Theconversionratio: 1convertiblebond#shares.

Theconversionprice=bondprice/conversionratio.


17/22



Conversionvalue=stockmarketpriceConversionratio

Straightvalue=thevalueofthebondifitwerenotconvertible.

Marketconversionprice=marketpriceofconvertiblebond/conversionratio

Marketconversionpremiumpershare=marketconversionprice marketprice

Marketconversionpremiumratio=marketconversionpremiumpershare/marketpriceof

commonstock

Premium payback period = market conversion premium per share/favorable income

differencepershare

Callableconvertiblebondvalue

=Straightvalueofbond

+Valueofthecalloptiononthestock

Valueofthecalloptiononthebond

Callableandputableconvertiblebondvalue

=valueofstraightbond

+valueofcalloptiononstock

valueofcalloptiononbond

+valueofputoptiononbond

197: Ca lcula t ing a m or tgage pa ymen t

20 1: Com pu t ing the S M M

2 0 3 : Ca l cu l a t in g p r e p a ym e n t a m o u n t

112

6% 1 (1 )30

( )

x x

m begin at m

x

CPR CPR mPSA m CPR SMM CPR

PRE SMM Mort Scheduled principal pay for m

20 7-20 8 : Ca lcu la t ing p r inc ipa l pa ym e n t s on a s e qu e n t i a l pa y t r a n c he

236: SMM ca lcula t ion for ABS

259: OAS an a lys is of an MBS

261-262: Assess in g in t e r es t r a te r i sk

M

min max

. P .

. . . .

. . int. . ..

MS

straight valuevalue

conv value stock conv ratio

P ofbondP

mark conv prem perS conv ratio

prem payback prd coupfav income diff perSdiv perS

conv ratio


18/22



Der iva t ives r e f t o B ook 5

11: No-a r b i t r age for war d pr ice

15 : De te r m in ing va lue o f a fo r w a r d c on t r a c t p r io r t o e xp i r a t ion

17: Ca lcula t ing the p r ice of a forwa rd cont r ac t on s t ock

18 : C a lc u la t ing th e va lue o f a n e q u i ty fo r wa r d c on t r a c t on a s toc k

19 : Ca lcu la t ing the p r i ce o f a fo r wa r d c on t r a c t on a n e qu i ty ind e x

19 : Ca lcu la t ing the va lue o f a fo r w a r d c on t r a c t on a n e qu i ty ind e x

20 : Ca lcu la t ing the p r i c e o f a f o r wa r d on a f ixe d inc om e se c u r i ty

21: Ca lcu la t ing the va lue o f a f o r wa r d on a f ixe d in c om e se c u r i ty

28 : C a lc u la t ing th e p r i ce o f a c u r r e nc y fo r wa r d c on t r a c t

29C a lc u la t ing th e va lue o f a c u r r e n c y fo r wa r d c on t r a c t

FP= T

0 f1+RS & Vt=

(1 )

t T t

f

FPS

R

;

Price:

FP(onTbill)=S0*(1+Rf)T

FP(onanequitysecurity)=(S0PVD)*(1+Rf)T=[S0*(1+Rf)

T]FVD

FP(onanequityindex)=S0*e(Rfg)*T

=(S0*eg*T

)*eRf*T

FP(onafixedincomesecurity)=(S0PVC)*(1+Rf)T=[S0*(1+Rf)

T]FVC

FP(currencyforwardcontract)=S0*[(1+RDC)T/(1+RFC)

T)]

Value:

Vt(longpositionduringlifeofcontractonTbill)=St[FP/(1+Rf)Tt)]

Vt(longpositiononequity)=(StPVDt)[FP/(1+Rf)

Tt

)]Vt(longpositiononafixedincomesecurity)=(StPVCt)[FP/(1+Rf)

Tt)]

Vt(currencyforwardcontract)=[St/[(1+RFC)Tt]/[FT/(1+RDC)

Tt)]

23: Ca lcula t ing th e pr ice of an FRA

25: Ca lcu la t ing va lue o f a n F R A a t m a tu r i ty ( i .e . , c ub p a ym e n t a t s e t t l e m e n t )

26 : Ca lcu la t ing va lue o f a n F R A p r io r t o s e t t l e m e n t

pricingFRA:(1+L(m)m/360)(1+FRn/360)=(1+L(m+n)(m+n)/360)

valuinganFRAatmaturity/priortomaturity

t

m-t m+n-t

n

1+FRA1 360V= -m-t m+n-t

1+L 1+L360 360

41: F u tu r e s c a sh a n d c a r r y a r b i t r a ge

4 2 : F u t u r e s r e ve r s e c u b a n d c a r r y a r b i tr a g e

46 : Ca lcula t ing the p r ice of a T-b i l l fu tur es cont r ac t

48 : Ca lcu la t ing the p r i ce o f a Tr e a su r y bond f u tu r e s c on t r a c t

48 : P r i c ing a T -B ond f u tu r e s c on t r a c t w ith a de l ive r y op t ion

49 : C a lc u la t ing th e p r i ce o f a s toc k f u tu r e s c on t r a c t

50 : C a lc u la t ing the va lue o f a f u tu r e s c on t r a c t on a n e qu i ty ind e x51: Ca lcu la t e th e p r i ce o f a c u r r e n c y f u tu r e s c on t r a c t


19/22



0FP (1 ) FV(NC)T

fS R ; 0FP (1 ) FV(NB)T

fS R

Treasurybondfuturescontractprice:T

f

1FP bond price (1+R ) FVC

CF

Equityfuturesprice: FVDRSstockFP Tf )1()( 0

Equityindexfuturesprice:TReSindexFP )(0)(

60 : Us ing p u t - ca l l pa r i ty

0 0 0(1 )T

f

XC P S

R

60 : Explo it ing v io la t ion of put -ca l l pa r i ty

63 : Ca lcu la t ing c a ll op t ion va lue w i th a one - pe r iod b inom ia l m e

1(1 )

1

f

f

R dC CC

R u d

64 : Va lu ing a one - pe r iod pu t op t ion on a s toc k

65: Ca lcula t ing a rb i t rage pr of it

70 : Ca lcu la t ing va lue o f a c a ll op t ion on a c oup on bon d

73 : Va lu ing a n in t e r e s t r a t e c a p

81: Ca lcula t ing chan ge in o pt ion pr ice

84 : He dg ing w i th c a ll op t ions

-

1 01 1

-

1 1 1 0

C -CC -C CDelta= =Hedge ratio=

S -S S -S S

S)N(dC 1 ; S1]-)[N(dP 1

10 3 : Ca lcu la t ing the f ixe d r a t e on a swa p wi th qu a r t e r ly pa ym e n t s

10 6 : Va lu ing a p l a in va n i ll a swa p be twe e n pa ym e n t d a te s

4

1 2 3 4

1-ZFixed-rate has periodical payment C =

Z Z Z Z

V(fixedpayer)=V(floatingratebond)V(shortfixedratedbond)

10 9 : Ca lcu la t ing the f ixe d r a t e a n d n o t iona l p r inc ipa l on a c u r r e nc y swa p

111: Ca lcula t ing th e va lue of a cu r r en cy swap a f te r in i t ia t ion

112: Va lu in g a pay f ixed , rece ive equi ty re tu rn s swa p

113 : Va lu ing a r e c e ive e qu i ty r e tu r n a n d p a y d i ffe r e n t e qu i ty r e tu r n swa p


20/22



]1)([ '4'4

'3

'2

'1

0

BBBBBCS

St

115 : Va lu ing a n in t e r e s t r a t e swa p t ion a t e xp i r a t ion

130 : Ca lcula t ing the p ayof f for an in te r es t r a te cap

131: Ca lcula t ing th e pa yoff for an in te r es t r a te f loor


21/22



Por t fo l io r e f t o B ook 5

150 : Expe cte d r e tu r n a n d s t a n da r d de v ia t ion f o r a two- a s se t po r t f o lio

Twoassetportfolio:E(RP)=w1E(R1)+w2E(R2)

p2=w1

21

2+w2

22

2+2w1w2COV1,2=w1

21

2+w2

22

2+2w1w2121,2

160 : Ca lcula t ing the va r iance for an equ a l ly-weighted p or t fo lio

22 1 1covpn

n n

2 2 1p

n

167: Ca lcula t ing expec ted r e tu r n f ro m the CAL

167: Ca lcula t ing s tan da rd devia t ion f ro m th e CAL

( )( )

T

T FP F P

R

E R R

E R R

168 : De te r m in ing the a pp r op r i a t e a lloca t ion to the r i sk -fr e e a s se t a n d to the

op t im a l r i sky po r t fo l io

173 : Ca lcu la t e a n d in t e r p r e t t h e be ta o f a s toc k

,

2

Covi mkti

mkt

175: Usin g th e Shar pe r a t io

Sharpratio=p f

p

r r

179 : C a lc u la t ing th e m a r ke t m ode l f o r e c a s t

i i i M iR R

Themarketmodelpredictions

expectedreturnforasseti: ( ) ( )i i i M E R E R

varianceofasseti:2 2 2 2

i i M

covariancebetweenassetsiandj:2

,covi j i j M

adjustedbeta: , 0 1 , 1 ,i t i t i t

182 : C a lc u la t e a n a d jus t e d be ta

18 4 : Co m p u t e a s t o ck r e t u r n u s i n g a m a c r o e co n o m i c fa c t or m o d e l

186 : Ca lcu la t ing a s t a n da r d iz ed se n s i t iv ity in a f und a m e n ta l f a cto r m ode l


22/22


Copyright 2012 WMICHINA All Rights Reserved

188 : Ca lcu la t e th e e xpe c te d r e tu r n fo r a p o r t f o l io

190 : Ca lcu la t ing e xpe c te d r e tu r n fr om the a r b i t r a ge p r i c ing m ode l

193 : C a lc u la t ing th e in f o r m a t ion r a t io

( )P B

P B

R RIR

s R R

224 : Ca lcu la t ing the do m e s t i c c u r r e nc y e x-pos t r e tu r n

227: Ca lcu la t ing a f o r e ign c u r r e nc y r i sk p r e m ium

230 : Ca lcu la t ing e xpe cte d r e tu r n w i th th e I CAP M

2012 cfa二级calculation带公式版本

Documents