Formula Sheet

Formula Sheet - FIRE 312Formulae I I 1. kj = kf + (km - kf)...

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FIRE 312Formulae I I 1. k j = k f + (k m - k f ) β Krf = l-t bond rate; Km = return on mkt 2. β j = (COV jm )/ σ m 2 3. CV = σ / k _ n _ 4. k avg = (∑ t=1 k t )/n n _ _ 5. σ 2 = s 2 = ( Σ t=1 (k t -k avg ) 2 /(n-1) I n I 6. k p = Σ i=1 w i k i n I I 7. COV AB = (∑ t=1 (k tA -k A )(k tB -k B ))/(N-1) 8. ρ AB = r AB = (COV AB )/( σ A * σ B ) 9. σ p 2 = Σ i Σ j w i w j COV ij for two securities: = w 1 2 σ 1 2 + 2w 1 w 2 ρ 12 σ 1 σ 2 + w 2 2 σ 2 2 n 12. β p = Σ i=1 w i β i 13. k i = (D 1 /P 0 ) + (P 1 -P 0 )/P 0 Kps = Dps/Pnet; Dps = %(par); Pnet = Pps - F 14. w 1 =(σ 2 /(σ 1 2 )) 15. EAR = (1 + (k nom /m)) m -1.0 16. k d = (coupon/P b0 )+ ((P b1 -P b0 )/P b0 ) Coupon/2(if semiannual) PMT, Price PV, 1000 FV, years N (*2 if semiannual), CPT i/y (*2 if semiannual) Adjust for tax Kd = Kd (1-Tax Rate) 17. P b = ∑(PMT/(1+k d ) t + Par(1/(1+k d ) n 18. P pfd = D pfd / k pfd I n 19. pfd
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This note was uploaded on 12/07/2009 for the course FIRE 312 taught by Professor Salandro during the Spring '09 term at VCU.

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Formula Sheet - FIRE 312Formulae I I 1. kj = kf + (km - kf)...

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