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# SELECTED FORMULA LIST

HPR

## Holding Period Return:

CAPM:

Dividend
= Capital gain yield + Dividend yield

Ri = Rf + (Rm-Rf)* i

## Present Value of a Mortgage:

1 1 (1 r )t
PV PMT

Net Foreign Exchange Exposure: Net exposure = (FX assets FX liabilities) + (FX bought FX sold)

## Interest Rate Parity Theorem (IRPT):

1 iUSt (1 / St ) (1 iUKt ) Ft

Black-Scholes Model:

C N (d1 ) S E (e rT ) N (d 2 )
d1

ln( S / E ) (r 2 / 2)T
T

d 2 d1 T
C = the call options price
S = the underlying asset price
E = Exercise price of the option
T = Time to Expiry
2 = Continuous annual variance of the underlying spot price
rf = continuously compounded annual risk free rate
N(dx) = value of the cumulative normal density function for the value d1 or d2 respectively.
Put Call Parity:

P0 = C0 - S0 + (E e-rT)

## The Binomial Model for Pricing Options:

h = (Cu-Cd)/(Su-Sd) = (max(Su-E,0)-max(Sd-E,0))/(Su-Sd)
C = [Cu(r-d)/(u-d) +Cd(u-r)/(u-d)] /(1+r)
or
C = [pCu + (1-p)Cd]/(1+r) where p= (r-d)/(u-d)
Commercial Banks:
N

n 1

NI rn An rm Lm P NII NIE T

ROE

net income
total assets

ROA EM
total assets total equity capital

ROA = PM x AU

interest income
interest expense

## earning assets interest - bearing liabilitie s

noninterest income
noninterest expense

N(d)

N(d)

N(d)

-3.00
-2.95
-2.90
-2.85
-2.80
-2.75
-2.70
-2.65
-2.60
-2.55
-2.50
-2.45
-2.40
-2.35
-2.30
-2.25
-2.20
-2.15
-2.10
-2.05
-2.00
-1.95
-1.90
-1.85
-1.80
-1.75
-1.70
-1.65
-1.60
-1.55
-1.50
-1.45
-1.40
-1.35
-1.30
-1.25
-1.20
-1.15
-1.10
-1.05
-1.00

0.0013
0.0016
0.0019
0.0022
0.0026
0.0030
0.0035
0.0040
0.0047
0.0054
0.0062
0.0071
0.0082
0.0094
0.0107
0.0122
0.0139
0.0158
0.0179
0.0202
0.0228
0.0256
0.0287
0.0322
0.0359
0.0401
0.0446
0.0495
0.0548
0.0606
0.0668
0.0735
0.0808
0.0885
0.0968
0.1056
0.1151
0.1251
0.1357
0.1469
0.1587

-1.00
-0.95
-0.90
-0.85
-0.80
-0.75
-0.70
-0.65
-0.60
-0.55
-0.50
-0.45
-0.40
-0.35
-0.30
-0.25
-0.20
-0.15
-0.10
-0.05
0.00
0.05
0.10
0.15
0.20
0.25
0.30
0.35
0.40
0.45
0.50
0.55
0.60
0.65
0.70
0.75
0.80
0.85
0.90
0.95
1.00

0.1587
0.1711
0.1841
0.1977
0.2119
0.2266
0.2420
0.2578
0.2743
0.2912
0.3085
0.3264
0.3446
0.3632
0.3821
0.4013
0.4207
0.4404
0.4602
0.4801
0.5000
0.5199
0.5398
0.5596
0.5793
0.5987
0.6179
0.6368
0.6554
0.6736
0.6915
0.7088
0.7257
0.7422
0.7580
0.7734
0.7881
0.8023
0.8159
0.8289
0.8413

1.05
1.10
1.15
1.20
1.25
1.30
1.35
1.40
1.45
1.50
1.55
1.60
1.65
1.70
1.75
1.80
1.85
1.90
1.95
2.00
2.05
2.10
2.15
2.20
2.25
2.30
2.35
2.40
2.45
2.50
2.55
2.60
2.65
2.70
2.75
2.80
2.85
2.90
2.95
3.00

0.8531
0.8643
0.8749
0.8849
0.8944
0.9032
0.9115
0.9192
0.9265
0.9332
0.9394
0.9452
0.9505
0.9554
0.9599
0.9641
0.9678
0.9713
0.9744
0.9772
0.9798
0.9821
0.9842
0.9861
0.9878
0.9893
0.9906
0.9918
0.9929
0.9938
0.9946
0.9953
0.9960
0.9965
0.9970
0.9974
0.9978
0.9981
0.9984
0.9987