Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 9 pps

... Head iii Financial Engineering Principles A Unified Theory for Financial Product Analysis and Valuation Perry H. Beaumont, PhD John Wiley & Sons, Inc. 00_200306_FM/Beaumont 8/15/03 12: 39 PM ... Head iii Financial Engineering Principles A Unified Theory for Financial Product Analysis and Valuation Perry H. Beaumont, PhD John Wiley & Sons, Inc....

Ngày tải lên: 14/08/2014, 05:20

... calculation: F ϭ S(1 ϩ RT) 99 .2403 ϭ 98 .7875 ϩ 98 .7875 ϫ (1 ϩ 5.5% ϫ 30/360). The difference between the cash price of 98 .7875 dollars and the for- ward price of 99 .2403 dollars, or 45.28 cents, ... as the carry, the forward drop, or simply the drop. 36 PRODUCTS, CASH FLOWS, AND CREDIT ForwardsSpot SF = S (1 + RT ) FIGURE 2.11 Relationship between spots and forwards. Forwa...

Ngày tải lên: 14/08/2014, 05:20

... ϭ 1100>1.16002Ϫ 197 .90 >1.15122 197 .90 >1.15122 13602 1872 . 50 PRODUCTS, CASH FLOWS, AND CREDIT TABLE 2.4 Forward Points May 199 1 Country 3 Month 6 Month 12 Month Canada 90 170 290 United Kingdom ... and ought not to pay for them. Date forward expires and previously agreed forward price is paid for forward’s underlying spot FIGURE 2.14 Relationship between forward...

Ngày tải lên: 14/08/2014, 05:20

... the product being launched. It is then desirable, of course, that the outside entity’s credit rating be above the issuer’s rating and 92 PRODUCTS, CASH FLOWS, AND CREDIT 5 Just as futures and forwards ... shown, a company that 98 PRODUCTS, CASH FLOWS, AND CREDIT TABLE 3.4 Similarities and Differences between Equities and Bonds Common Equity Bonds Voting rights √ Maturity dates...

Ngày tải lên: 14/08/2014, 05:20

... Transition Matrix, 198 0– 199 8 Rating to (%) Initial Rating Aaa Aa A Baa Ba B Caa—C Default WR* Aaa 85.44 9. 92 0 .98 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 ... date O OO Ϫ SRT with increasing values for S and R Ϫ SRT with values unchanged for S and R Ϫ SRT with decreasing values for S and R FIGURE 4.2 Three sce...

Ngày tải lên: 14/08/2014, 05:20

... great. For the United States and much of 158 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 04_200306_CH04/Beaumont 8/15/03 12: 49 PM Page 158 TLFeBOOK owner decides or is forced ... very practical or realistic for mortgage products. For example, a typical home mortgage is a 30-year fixed-rate product. This type of product has been around for some time, and...

Ngày tải lên: 14/08/2014, 05:20

... (C) 3.8125 0 .93 44 3.6763 3.4352 3.8125 1 .93 44 3.6763 6.8 399 3.8125 2 .93 44 3.40 09 9 .97 96 3.8125 3 .93 44 3.2710 12.8 694 3.8125 4 .93 44 3.1461 15.5240 3.8125 5 .93 44 3.02 59 17 .95 71 3.8125 6 .93 44 2 .91 04 20.1817 3.8125 ... 1 .93 44 3.53 59 6.8 399 13.2313 20.0712 3.8125 2 .93 44 3.40 09 9 .97 96 29. 2843 39. 2638 3.8125 3 .93 44 3.2710 12.8 694 50.6338 63.5033 3.8125 4 ....

Ngày tải lên: 14/08/2014, 05:20

... of a forward agreement must pay to the seller. The rationale for the cost is this: The forward seller of gold is agreeing not to be paid for the 194 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND ... classifications. For example, RAROC (risk-adjusted return on capital) is used for risk analysis and project evaluation where a higher net return is required for a riskier pro- je...

Ngày tải lên: 14/08/2014, 05:20

... return calculations across cash flows and products, consider Table 5.7. In the table, there are two “Yes” indications for bonds, one for equi- ties, and none for currencies. As a very general statement ... balance of 250 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 06_200306_CH06/Beaumont 8/15/03 12:54 PM Page 250 TLFeBOOK 228 FINANCIAL ENGINEERING, RISK M...

Ngày tải lên: 14/08/2014, 05:20

... contracts, holders, 229fn Forward dirty price calculation, 38 Forward duration value. See Securities Forward exchange rates, 9 Forward formulas, 53t Forward leaps, 40 Forward points, 50t Forward price, ... Offsetting forward transaction Forward yields, spot yields (convergence), 191 f Forward-dated option, 199 Forward-forward arrangement, 196 Forward/future profile, 206–207 Forwards cash...

Ngày tải lên: 14/08/2014, 05:20