Financial engineering principles phần 3 potx
Financial engineering principles phần 3 potx
... 0.055>22 4 11 ϩ 0.0 53& gt;22 3 dϪ 1 dϫ 2 ϭ 5.90%, and F 6,12 ϭ cc 11 ϩ 0.0 53& gt;22 3 11 ϩ 0.05>22 2 dϪ 1 dϫ 2 42 PRODUCTS, CASH FLOWS, AND CREDIT 02_20 030 6_CH02/Beaumont 8/15/ 03 12:41 PM Page 42 the ... a Cash Flows 43 F 6,6 = (1 + 0.05/2) 2 –1 ϫ 2 (1 + 0.0475/2) 1 = 5.25% F 6,12 = (1 + 0.0 53/ 2) 3 –1 ϫ 2 (1 + 0.05/2) 2 = 5.90%, and F 6,18 = (1 + 0.055/2) 4 –1 ϫ 2 (...
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Financial engineering principles phần 7 potx
... 6. 839 9 3. 8125 2. 934 4 3. 4009 9.9796 3. 8125 3. 934 4 3. 2710 12.8694 3. 8125 4. 934 4 3. 1461 15.5240 3. 8125 5. 934 4 3. 0259 17.9571 3. 8125 6. 934 4 2.9104 20.1817 3. 8125 7. 934 4 2.7992 22.2102 3. 8125 8. 934 4 2.69 23 24.0544 1 03. 8125 ... ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT TABLE 5.2 Calculating Duration (A) (B) (C) (D) C’ t tC’ t /(1 ϩ Y/2) t (B) ϫ...
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Financial engineering principles phần 1 ppt
... 0-471-4 635 8-2 (cloth) 1. Financial engineering. I. Title. II. Series. HG176.7.B42 20 03 658.15’224—dc21 20 030 1 133 8 Printed in the United States of America. 1098765 432 1 00_20 030 6_FM/Beaumont 8/15/ 03 ... maturities tend to be limited to about 30 years. 2 01_20 030 6_CH01/Beaumont 8/15/ 03 3:50 PM Page 3 1 Head iii Financial Engineering Principles A Unified Theory for...
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Financial engineering principles phần 2 docx
... its annualized total return is 4. 43 percent. The second term, 36 5/90, is the annualization term. We assume 36 5 days in a year (36 6 for a leap year), and Cash out Ϫ cash in Cash in ϫ 36 5 90 ϭ Annualized total ... calculation: F ϭ S(1 ϩ RT) 99.24 03 ϭ 98.7875 ϩ 98.7875 ϫ (1 ϩ 5.5% ϫ 30 /36 0). The difference between the cash price of 98.7875 dollars and the for- ward price of 99.24 0...
Ngày tải lên: 09/08/2014, 16:21
Financial engineering principles phần 4 ppt
... 0.00 0. 03 0.00 0.00 0.00 3. 63 Aa 1.04 85.52 9.21 0 .33 0.14 0.14 0.00 0. 03 3.59 A 0.06 2.76 86.57 5.68 0.71 0.17 0.01 0.01 4. 03 Baa 0.05 0 .32 6.68 80.55 5.72 0.95 0.08 0.15 5.49 Ba 0. 03 0.07 0.51 ... collateralized Credit Risk Protection FIGURE 3. 3 Conceptual linking of credit risk with security types. 03_ 20 030 6_CH 03/ Beaumont 8/15/ 03 12:42 PM Page 94 TABLE 3. 2 Average...
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Financial engineering principles phần 5 ppt
... flow Spot AAA A BB Equity Bond FIGURE 3. 9 Conceptualizing risk relative to various cash flows and products. 03_ 20 030 6_CH 03/ Beaumont 8/15/ 03 12:42 PM Page 108 04_20 030 6_CH04/Beaumont 8/15/ 03 12:48 PM Page 112 Financial Engineering 1 13 CHAPTER 4 Product creation ... Proceeds Proceeds Notes SPV CDO Note Investors Super senior CDS Collateral FIGURE 3. 8 Schematic of a synthe...
Ngày tải lên: 09/08/2014, 16:21
Financial engineering principles phần 6 pdf
... return potential to an index-oriented management philosophy. Financial Engineering 1 53 04_20 030 6_CH04/Beaumont 8/15/ 03 12:49 PM Page 1 53 file, the price of the bond clearly does not receive any ... a slower prepayment pattern. 138 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 140 120 100 80 40 20 $1,000s 60 120 180 240 30 0 36 0 Month Interest Principal 9%...
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Financial engineering principles phần 8 pot
... zero coupon security. 230 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 80 90 100 110 120 10 234 5 Price Maturity Passage of time Price trajectory for +30 0 bps changes in par ... yield Price trajectory for 30 0 bps changes in par bond yield FIGURE 5 .32 Price cone for a 5-year-maturity coupon-bearing Treasury. 05_20 030 6_CH05/Beaumont 8/15/ 03 12:52 PM Page 230 more m...
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Financial engineering principles phần 9 docx
... (%) (1) (2) (3) Fannie Mae 2 5.66 4.47 3. 91 3. 34 FHLB 21 5.66 4.81 4.25 3. 68 Single-A corporate bond 59 6.04 4.77 4.17 3. 56 10-year Maturities Fannie Mae 30 .5 5.89 4.65 4.06 3. 47 FHLB 30 .5 5.89 ... 5.00 4.41 3. 83 Single-A corporate bond 76 6 .34 5.01 4 .37 3. 74 20-year Maturities Fannie Mae 25 6.17 4.87 4.26 3. 64 TVA 25 6.17 5.24 4. 63 4.01 Single-A corporate bond 84 6....
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Financial engineering principles phần 10 ppt
... trade-offs, 226, 235 Road shows, 83 Roll down, phenomenon, 239 –240 Roll risk, 239 Roll-down risk, 239 RORAC. See Return on risk- adjusted capital S Sale price, 17 Same-day settlement, 33 Savings and ... (1990s), 256 Scenario analysis, 233 – 234 , 237 Secondary markets, 212 Securities face value, 211 forward duration value, 191 hedging. See Market neutral lending, 122–1 23 market, 3...
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