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Treasury and Capital Markets

Formulae List
FV PV Market capitalization (cap for short) Market Capitalization (using free float) Earnings Per Share (EPS) Price to Earnings Ratio (P/E Ratio) Dividend Yield (%) Volatility (%) P/BV Ratio Book Value of Share Beta () Returns Maintenance margin VaR Margin (Group I) VaR Margin (Group II) VaR Margin (Group III) Extreme loss margin Trading Position Current Yield Annualized Coupon Actual/Actual = PV*(1+r/m)^(m*t) = FV/(1+r/m)^(m*t) = Market Price * Number of Outstanding Shares of the Company = Market Price * Number of Outstanding Shares of the Company * Free Float Factor = Profit After Tax (PAT)/Total no. of Equity Shares (Issued) = Market Price of the Share/Earnings per Share (EPS) = [Dividend per Share/ Market Price of Share]*100 = [(Highest Price of Share Lowest Price)/ Market Price of Share]*100 = Market Price of Share/ Book Value (BV) of Share = (Equity Share Capital + Reserves) /Total no. of Equity Shares (Issued) = Covariance (Index, Stock)/Variance (Index) = (Value today - Value of the previous day)/Value of the previous day = (Value of your money (equity) / Market value of investment) = 3.5 times volatility or 7.5% of the value of the transaction. =3.5 times volatility or 3 times the VaR of the index*3 = 5 times the VaR of the index*3 = 1.5 times the standard deviation of daily returns of the stock price in the last six months or 5% of the value of the position. = Total Purchases-Total Sales (could be in value or in quantity) (Annual Coupon Amount / Market Price)*100 [1+r/m] - 1 The number of days between two interest dates /[(The actual number of days in the current interest period) *( The number of coupons paid in a year)] Bond Price = C / (1 + r /m )^m*t C=Coupon or Cashflows r=YTM m=Number of times compounding happens in a year t=Time period in years Clean Price + Accrued Interest(undiscounted) Face Value (FV)/[1 + (YTM*Time period in years)] Funds received + Interest paid for the term/Quantity of Bonds Settled purchase or open purchase: ve sign (+ve balance in RBIs books) Open sale: +ve sign (- ve balance in RBIs books) Long trading position: +ve sign Short trading position: ve sign *(PVCF/TPVCF)*T+ PVCF is the present value of each cash flow. TPVCF is the total present value of the cash flows, which is also the bond price. T is the time period of the cash flow expressed in years.
m

Bond Price

Dirty Price Zero Coupon Bond Pricing Repo Repurchase price Security Position Trading Position Macaulay Duration

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Modified duration Convexity Adjustment Convexity Measure

[Macaulay Duration]/[1 + (YTM/k)] k = is the number of interest periods in a year 2 (Convexity measurement/2 )*(y) * 100 Where y is the change in yield. (PVCF/Bond price)*T^2 PVCF is the present value of each cash flow. TPVCF is the total present value of the cash flows, which is also the bond price. T is the time period of the cash flow expressed in years. F = S * (1+Rq* Tq)/ (1+Rb * Tb) where, S = Spot rate Rb = Base currency interest rate for the tenor T Rq = Quoted currency interest rate for the tenor T Tb = Year fraction for the period from the spot date to the forward FX settlement date using the day count basis for Rb Tq = Year fraction for the period from the spot date to the forward FX settlement date using the day count basis for Rq 0.0001 for other major currencies and 0.01 for JPY Spot Rate +/- Swap Rate Current Mark to Market (CMTM) + Maximum Likely Increase in Value (MLIV) Daily Factor Sensitivity (Contract Tenor) Amount [Spot rate*Interest rate differential/100]*[No.of months forward /12 Months]

Forward FX Rate

1 pip Forward Rate Pre-Settlement Risk (PSR) MLIV Swap Difference

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