Term
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Definition
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Term
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Definition
| Reference rate + Quoted margin |
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Term
| Coupon Rate (Inverse Floaters) |
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Definition
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Term
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Definition
| Value of option-free bond - value of embedded call option |
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Term
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Definition
| Value of Option-free bond + value of embedded put option |
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Term
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Definition
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Term
| Inflation-Indexed Treasury Securities |
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Definition
| TIPS Coupon = Inflation-adjusted par value * (Stated coupon rate/2) |
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Term
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Definition
Yield on Bond X - Yield on Bond Y
Bond Y is the reference bond |
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Term
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Definition
[Yield on Bond X-Yield on Bond Y] / Yield on Bond y
Bond Y is the reference bond |
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Term
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Definition
| Yield on Bond X / Yield on Bond Y |
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Term
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Definition
| Pretax Yield * (1-Marginal Tax Rate) |
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Term
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Definition
| Tax Exempt Yield / (1-Marginal Tax Rate) |
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Term
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Definition
Maturity Value / (1+i)Years til maturity*2
i = semi-annual discount rate |
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Term
| Valuing a Bond Between Coupon Payments |
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Definition
w = Days between settlement date and next coupon payment date / days in coupon period
PVt = Expected Cash Flow / (1+i)t-1+w |
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Term
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Definition
| Annual Cash Coupon / Bond Price |
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Term
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Definition
| Sum of PV Coupon Payments + Maturity Payment |
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Term
| Formula to Convert BEY into Annual-Pay YTM |
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Definition
| Annual-Pay Yield = [(1+(BEY/2))2 - 1] |
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Term
| Formula to Convert Monthly Cash Flow Yield into BEY |
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Definition
| BEY = [(1+monthly CFY)6-1] * 2 |
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Term
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Definition
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Term
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Definition
OAS + Option cost
OAS = Z-Spread - Option Cost
**Don't know what either of these are |
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Term
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Definition
[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 |
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Term
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Definition
Portfolio duration = w1D1 + w2D2 +...+ wNDN
where:
N = Number of bonds in portfolio.
Di = Duration of Bond i.
wi = Market value of Bond i divided by the market value of portfolio |
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Term
| Percentage Change in Bond Price |
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Definition
= duration effect + convexity adjustment
= {[-duration * (Δy)] + [convexity * (Δy)2]} * 100
where: Δy = Change in yields in decimals |
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Term
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Definition
| C = [V++V--2V0] / [2V0(Δy)2] |
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Term
| Price Balue of a Basis Point |
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Definition
| Duration * .0001 * Bond Value |
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