P₀ * [(1-Initial Margin) / (1-Maintenance Margin)]

Gives price at which an investor who goes long on a stock recieves a margin call

V_PRI = Σn_iP_i / D

V_PRI = Value of the price return index

n_i = Number of units of constituent security i held in the index portfolio

P_i = Unit price of constituent security i

D = Value of the divisor

PR_I = [V_PRI1-V_PRI0] / V_PRI0

PR_I = Price return of the index portfolio (as a decimal)

V_PRI1= Value of the price return index at the end of the period

V_PRI0 = Value of the price return index at the beginning of the period

PR_i = [P_i1-P_i0] / P_i0 

where:

PR_i = Price return of constituent security i (as a decimal number)

P_i1 = Price of the constituent security i at the end of the period

P_i0 = Price of the constituent security i at the beginning of the period

Weighted average price return of the constituent securities:

PR_I = w₁PR₁ + w₂PR₂ + ....+ w_NPR_N

where:

PR_I = Price return of the index portfolio (as a decimal number)

PR_i = Price return of constituent security i (as a decimal number)

w_i = Weight of security i in the index portfolio

N = Number of securities in the index

TR_I = [V_PRI1-V_PRI0+Inc_I] / V_PRI0

where:

TR_I = Total return of the index portfolio (as a decimal number)

V_PRI1 = Value of the total return index at the end of the period

V_PRI0 = Value of the total return index at the beginning of the period

Inc_I = Total income from all securities in the index held over the period

TR_i = [P_1i-P_0i+Inc_i] / P_0i

where:

TR_i = Total return of constituent security i (as a decimal number)

P_1i = Price of constituent security i at the end of the period

P_0i = Price of constituent security i at the beginning of the period

Inc_i = Total income from security i over the period

TR_I = w₁TR₁ + w₂TR₂ +....+ w_NTR_N

where:

TR_I = Total return of the index portfolio (as a decimal number)

TR_i = Total return of constituent security i (as a decimal number)

w_i = Weight of security i in the index portfolio

N = Number of securities in the index

V_PRIT= V_PRI0(1+PR_I1)(1+PR_I2) ... (1+PR_IT)

where:

V_PRI0 = Value of the price return index at inception

V_PRIT = Value of the price return index at time t

PR_IT = Price return (as a decimal number) on the index over the period

Can be valued the same way using values of a Total Return Index

w_i^E = 1 / N

where:

w_i = Fraction of the portfolio that is allocated to security i or weight of security i

N = Number of securities in the index

w_i^M = Q_iP_i / ΣQ_jP_j

where:

w_i = Fraction of the portfolio that is allocated to security i or weight of security i

Q_i = Number of shares outstanding of security i

P_i = Share price of security i

N = Number of securities in the index

w_i^M = f_iQ_iP_i / Σf_jQ_jP_j

where:

f_i = Fraction of shares outstanding in the market float

w_i = Fraction of the portfolio that is allocated to security i or weight of security i

Q_i = Number of shares outstanding of security i

P_i = Share price of security i

N = Number of securities in the index

w_i^F = F_i / ΣF_j

where:

F_i = A given fundamental size measure of company i

Total Return, R_t = (P_t–P_t-1+D_t) / P_t-1

where:

P_t-1 = Purchase price at time t – 1

P_t = Selling price at time t

D_t = Dividends paid by the company during the period

ROE_t = NI_t / Average BVE_t = NI_t / [(BVE_t+BVE_t-1) / 2]

Net Income / Avg Book value of equity

g_c = RR * ROE

**What's RR?? Retention Rate?

Value = [D₁ / (1+k_e)¹] + [D₂ / (1+k_e)²] +...+ [D_n / (1+k_e)ⁿ] + [P_n / (1+k_e)ⁿ]

Where:

P_n = D_(n+1) / [k_e-g_c]

D_n = Last dividend of the supernormal growth period

D_n+1 = First dividend of the constant growth period

V₀ = ΣFCFE_t / (1+k_e)^t

FCFE = CFO - FC Inv + Net Borrowing

Intrinsic value of the company's stock by discounting projections of FCFE at the required rate of return on equity

Non-callable, non-convertible, no maturity date, and pays fixed dividends:

V₀ = D₀ / r

Non-callable, non-convertible, preferred stock with maturity at time n:

V₀ = ΣD_t / (1+r)^t + [F / (1+r)ⁿ]

where:

V₀ = value of preferred stock today (t = 0)

D_t = expected dividend in year t, assumed to be paid at the end of the year

r = required rate of return on the stock

F = par value of preferred stock

Market Price per Share / Net Sales per Share

or:

Market value of equity / Total Net Sales

Current Market Price of Share / Book Value per Share

Market Value of Common Shareholders' Equity / Book Value of Common Shareholders' Equity

where:

Book value of common shareholders’ equity = (Total assets - Total liabilities) - Preferred stock

Price to CF

Price to Sales

Price to Book

EV = Enterprise value:

MV of common stock

+ MV of outstanding preferred stock

+ MV of Debt

- Cash and cash equivalents

Yield on Bond X - Yield on Bond Y

Bond Y is the reference bond

[Yield on Bond X-Yield on Bond Y] / Yield on Bond y

Bond Y is the reference bond

Maturity Value / (1+i)^{Years til maturity*2}

i = semi-annual discount rate

w = Days between settlement date and next coupon payment date / days in coupon period

PV_t = Expected Cash Flow / (1+i)^t-1+w

OAS + Option cost

OAS = Z-Spread - Option Cost

**Don't know what either of these are

[V_--V₊] / [2*V₀(Δy)

where:

Δy = change in yield in decimal

V₀ = initial price

V_- = price if yields decline by Δy 

V₊ = price if yields increase by Δy 

Portfolio duration = w₁D₁ + w₂D₂ +...+ w_ND_N

where:

N = Number of bonds in portfolio.

D_i = Duration of Bond i.

w_i = Market value of Bond i divided by the market value of portfolio

= duration effect + convexity adjustment

= {[-duration * (Δy)] + [convexity * (Δy)²]} * 100

where: Δy = Change in yields in decimals

Interest savings on the hypothetical loan

Positive when the floating rate is greater than the forward rate - Long benefits and recieves payment from the short

Negative when the floating rate is lower than the forward rate - Short benefits and expects to receive a payment from the long

Choice to buy underlying asset for X

S_T > X - Option holder will exercise; payoff of (S_T - X)

S_T < X - Option holder does not exercise; payoff of 0

obligation to sell underlying asset for X

S_T > X - option holder exercises the option, -(S_T - X)

S_T < X - Option holder oes not exercise, payoff of 0

Choice to sell the underlying asset for X

S_T < X - holder exercises; payoff of X - S_T

S_T > X - option holder does not exercise; payoff of 0

Obligation to buy the underlying asset for X

S_T < X - holder exercises; payoff of -(X - ST)

ST > X - Option holder does not exercise; payoff of 0

In the Money: S_T < X

At the Money: S_T = X

Out of the Money: S_T > X

S_T < X: X - S_T

S_T = X: 0

S_T > X: 0

Fiduciary call

Long call

Long put

Long underlying asset

Long Bond

Protective Put

Synthetic call

Synthetic Put

Synthetic Underlying Asset

Synthetic Bond

Consists of: Long call + Long Bond

Value: C₀ + [X / (1+R_F)^T]

Consists of: Long call

Value: C₀

Consists of: Long Put

Value: P₀

Consists of: Long underlying asset

Value: S₀

Consists of: Long Bond

Value: X / (1+R_F)^T

Consists of: Long put + Long underlying asset

Value: P₀ + S₀

Consists of: long put + long underlying asset + short bond

Value: P₀ + S₀ - [X / (1+R_F)^T]

Consists of: Long call + Short underlying asset + Long Bond

Value: C₀ - S₀ + [X / (1+R_F)^T]

Consists Of: Long call + long bond + short put

Value: C₀ + [X / (1+R_F)^T] - P₀

Consists of: Long Put + Long underling Asset + Short Call

Value: P₀ + S₀ - C₀

Minimum: EC_T ≥ 0

Maximum: EC_T ≤ S_T

Minimum: AC_T ≥ 0

Maximum: AC_T ≤ S_T

Minimum: EP_T ≥ 0

Maximum: EP_T ≤ [X / (1+RFR)^T

Minimum: AP_T ≥ 0

Maximum: AP_T ≤ X

Minimum: Max [0, S_T - [X / (1+RFR)^T]

Maximum: S_T

Minimum: Max [0, S_T - [X / (1+RFR)^T]

Maximum: S_T

Minimum: Max [0, [X / (1+RFR)^T] - S_T]

Maximum: X / (1+RFR)^T

Minimum: Max [0, X - S_T]

Maximum: X

Max (0, Underlying rate at expiration - Exercise Rate) * [(Days in underlying rate*NP) / 360]

where:

NP = Notional Principal

Max (0, Exercise rate - Underlying Rate at Expiration) * [(Days in underlying rate*NP) / 360]

where:

NP = Notional Principal

(Swap fixed rate - LIBOR_t-1 ) * (No. of days/360) * (NP)

where:

NP = Notional Principal

Value at expiration: V_T = S_T - max(0, S_T- X)

Profit: Π = V_T - S₀ + C₀

Maximum profit = X - S₀ + C₀

Maximum loss = S₀- C₀

Breakeven: S_T* = S₀- C₀

Value at expiration: V_T = S_T + max(0,X - S_T)

Profit: Π = V_T - S₀- P₀

Maximum profit = ∞

Maximum loss = S₀ + P₀- X

Breakeven: S_T* = S₀ + P₀