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2012 CFA二级calculation带公式版本
2012 CFA二级calculation带公式版本
2012 CFA二级calculation带公式版本
= =
151: Ca lcu la t in g t h e con fid en ce in t er va l for a r egr es s ion coefficien t
( )
j
j c
b
b t s
152: Hyp ot h es is t es t for s ign ifica n ce of r egr es s ion coefficien t s
j j
j j j
b b
b b b
t
s s
-
= =
153: Pr ed ict in g t h e Dep en d en t Va r ia ble
0 1
p
Y b b X = +
154: Con fid en ce in t er va l for a p r e d ict ed va lu e
( )
s f
Y t s
2
2 2
2
1 ( )
1
( 1)
f
x
X X
s SEE
n n s
(
= + +
(
157: Us in g t h e ANOVA t a ble
Source of variation Degree of freedom Sum of squares Mean sum
of squares
Regression (explained) k = 1 RSS
MSR=
RSS
K
Error (unexplained) n-2 SSE
MSE =
SSE
2 n
Total n-1 SST
2
Explained variation(RSS) SST-SSE
=
Total Variatio(SST) SST
R =
2
SSE
SEE MSE
n
= =
159: Ca lcu la t in g a n d in t er p r et in g t h e F-s t a t is t ic r egr es s ion
18 3: Ca lcu la t in g a n d in t er p r et in g t h e F-s t a t is t ic m u lt ip le r egr es s ion
/
SSE / ( 1)
MSR RSS k
MSE n k
=
176: Tes t in g t h e s t a t is t ica l s ign ifica n ce of a r egr es s ion coefficien t
178 : Tes t in g r egr es s ion coefficien t s ( t wo-t a il t es t )
178 : Tes t in g r egr es s ion coefficien t s ( on e-t a iled t es t )
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1
1
1
b
b b
t
s
179: Ca lcu la t in g a con fid en ce in t er va l for a r egr es s ion coefficien t
1 1
1 1 ( , )
c c
b b
b t s b t s +
18 5: Ca lcu la t in g R2 a n d a d ju s t ed R2
2
Explained variation(RSS) SST-SSE
=
Total Variatio(SST) SST
R =
2 2
1
1 (1 )
( 1)
a
n
R R
n k
( | |
=
( |
+
\ .
18 6: Us in g a n ANOVA t a ble wit h r egr es s ion ou t p u t
192: Hyp ot h es is t es t in g wit h d u m m y va r ia bles
196: Th e Br eu s ch -Pa ga n t es t
BP chi-square test = n
2
resid
R (df = k)
197: Us in g Wh it e-cor r ect ed s t a n d a r d er r or s
20 0 : Th e Du r bin -Wa t s on t es t for s er ia l cor r ela t ion
2
1
2
2
1
T
t t
t
T
t
t
DW
c c
c
. .
=
.
=
| |
|
\ .
=
| |
|
\ .
DW~2(1 - r), for very large-sized sample
220 : Us in g a Lin ea r Tr en d Mod el
0 1
( )
t
Y b b t = +
0 1
( )
t t
y b b t c = + +
224: Log-Lin ea r Tr en d Mod el
0 1
ln( ) ( )
t
y b b t = +
228 : For eca s t in g
231: Tes t in g a n AR m od el for p r op er s p ecifica t ion
230 : Mea n -r ever t in g t im e s er ies
0
1
1
t
b
x
b
=
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235: Fir s t d iffer en cin g
237: Det ect in g s ea s on a lit y
239: Cor r e ct in g for s ea s on a lit y in a t im e-s er ies m od el
240 : For eca s t in g wit h a n Au t or egr es s ive Mod el
242: ARCH ( 1) t im e s er ies
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Econ om ics r ef t o Book 1
Pa ge:
262: Th e r u le of 70
Approximate years to double = 70 / growth rate
265: On e-t h ir d r u le a p p lied t o p r od u ct ivit y s p eed u p
y/y = (1/3) (k/k) + T/T
30 2: Cr os s r a t e ca lcu la t ion
When the base currencies in the FX rate quotations are different, multiply down
(bid*bid, ask *ask)
When the base currencies are the same, divide cross (bid/ask, and ask/bid), the
larger value will be the ask, the smaller value will be the bid for the cross rate pair.
30 5: For wa r d FX Tr a n s a ct ion s
30 7: An n u a lized for wa r d r a t e p r em iu m a n d d is cou n t
30 8 : Ca lcu la t in g t h e for wa r d p r e m iu m / d is cou n t
360
100%
forward spot
spot days
| || |
| |
\ .\ .
OR
12
100%
.
forward spot
spot No monthsforward
| || |
| |
\ .\ .
30 9: For wa r d p r em iu m s or d is cou n t s fr om in t er es t r a t e p a r it y
30 9: Cover ed I n t er es t Ar bit r a ge
324: Ca lcu la t in g t h e exch a n ge r a t e p r ed ict ed by r ela t ive PPP
t
t X
t 0
0 Y
E(S ) 1+I
= ; S ,S X/Y
S 1+I
(
(
326: Ca lcu la t in g t h e r ea l in t er es t r a t e
nominal A real A
nominal B real B
1+R (1+R )[1+E(inflation A)]
=
1+R (1+R )[1+E(inflation B)]
R
nominal A
R
nominal B
= Einflation
A
- Einflation
B
327: Us in g t h e in t er n a t ion a l Fis h er r ela t ion
) ( 1
) ( 1
r 1
r 1
DC
FC
DC
FC
i E
i E
+
+
=
+
+
) ( ) (
DC FC DC FC
i E i E r r ~
328 : For eca s t in g s p ot r a t es wit h u n cover ed in t er es t r a t e p a r it y
1
0
1 ( ) 1 ( )
, ( )
1 ( ) 1
FC FC
FC DC
DC DC
E r r E s
E s r r
s E r r
+ +
= = ~
+ +
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Fin a n cia l s t a t em en t a n a lys is r ef t o Book 2
Pa ge:
12: I n ven t or y cos t flow m et h od
16: Con ver t in g en d in g in ven t or y a n d COGS fr om LI FO t o FI FO
inv
FIFO
= inv
LIFO
+ LIFO reserve
COGS
FIFO
= COGS
LIFO
LIFO reserve
Tax saving = LIFO reserve * t
24: I n ven t or y wr it ed own
Under IFRS: Lower of cost or NRV, NRV = sales price - selling cost
Under US. GAAP: Lower of cost or market (replacement cost), NRV < Market < NRV
Normal profit margin
38 : Effect of ca p it a lizin g in t er es t
43: Effect of d ep r ecia t ion m et h od s on n et in com e
45: Ch a n ge in d ep r ecia t ion es t im a t e
47: As s et im p a ir m en t
IFRS: Annually, CV vs. recoverable amount (FV-selling cost), can be reversed
US. GAAP: Tested, two steps: recoverability test, CV vs. expected future cash flow then
measuring the loss, CV vs. recoverable amount (FV-selling cost)
50 : Ca lcu la t in g a ver a ge a ge a n d a ver a ge d ep r ecia ble life
52: Accou n t in g for lea s e
59: Dir ect fin a n cin g lea s e
70 : I n ves t m en t in fin a n cia l a s s et s
74: I m p lem en t in g t h e equ it y m et h od
Security Classification
Trading Available-for-Sale Held-to-Maturity
Carrying
value(Balance
sheet)
Fair market
value
Fair market value with
unrealized G/L in equity
Amortized cost
income
recognition
Dividends.
Interest.
Realized G/L.
Unrealized G/L
Dividends.
Interest.
Realized G/L
Interest.
Realized G/L
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One line consolidation Basic
Initially recorded at purchase price (cost)
Subsequent periods
B/S Cost + (share results dividends) * %
I/S Earnings pickup (% share of NI)
75: Alloca t ion of p u r ch a s e p r ice over BV a cqu ir ed
Goodwill: = purchase price pro-rata BV of NA excess allocation to equipment
One line consolidation Basic + additional depreciation
Initially recorded at purchase price (cost)
Subsequent periods
B/S Cost + (share results dividends- excess allocation to
equipment depreciation) * %
I/S (share resultsexcess allocation to equipment depreciation) *
%
8 2: Good will u n d er con s olid a t ion
Full GW Partial GW
Allowed in both US GAAP and IFRS
= consideration / % of interests acquired
fair value of net assets
MI is stated (% of MI shareholders own)
(consideration / % of interests acquired)
Only allowed under IFRS
= consideration fair value of net assets X
% of interests acquired
MI is stated (% of MI shareholders own) X
FV of net assets
8 4: I m p a ir ed good will
IFRS: CV of reporting unit > recoverable amount
US GAAP: two steps
- CV > FV of reporting unit
- CV of goodwill - Implied FV of goodwill
113: Econ om ic p en s ion exp en s e
(Plan asset
end
- Plan asset
beg
)- (PBO
end
- PBO
beg
) - employers contribution
115: Recla s s ifyin g p en s ion exp en s e for a n a lyt ica l p u r p os e
136: Cu r r e n t r a t e m et h od
140 : Tem p or a l m et h od
149: Ad ju s t in g fin a n cia l s t a t em en t s for in fla t ion
179: Ca lcu la t in g a ccr u a ls u s in g t h e ba la n ce s h eet a p p r oa ch a n d t h e ca s h flow
s t a t em en t a p p r oa ch
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Accrual ratio, (AR)
B/S
= AA
B/S
/[(NOA
t
+ NOA
t 1
)/2]
AR
C/F
= AA
C/F
/[(NOA
t
+ NOA
t 1
)/2]
AA
B/S
= NOA
t
NOA
t 1
and NOA = (total assets cash) (total liabilities total debt)
213: Ca lcu la t in g Ma r ket va lu e d e com p os it ion
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Cor p or a t e fin a n ce r ef t o Book 2
234: Exp a n s ion p r oject a n a lys is
Initial outlay = FCInv. + NWCInv.
After-tax operating cash flows: CF = (S-C-D)*(1-T)+D=(S-C)*(1-T)+T*D
Terminal year after-tax non-operating cash flows: TNOCF =[ Sal
T
- (Sal
T
B
T
)*T] +
NWCInv
238 : Rep la cem en t p r oject a n a lys is
Initial outlay = FCInv + NWCInv [Sal
0
-T*(Sal
0
B
0
)]
Incremental operating cash flows = (S - C)*(1-t) + D*t
Terminal CF = [ Sal
T
- (Sal
T
B
T
)*T] + NWCInv
242: Pr oject s wit h u n equ a l lives _ EAA a p r oa ch
249: Pr od u ct ion -flexibilit y op t ion
252: Econ om ic a n d a ccou n t in g in com e
economicincome=aftertaxcashfloweconomicdepreciation
economicdepreciation=beginningmarketvalueendingmarketvalue
255: Econ om ic p r ofit
EP
t
=PV
t1
*WACC
299: Effect ive t a x r a t e u n d er a d ou ble t a xa t ion s ys t em
30 0 : Effect ive t a x r a t e u n d er a s p lit -r a t e s ys t em
30 1: Effect ive t a x r a t e u n d er a n im p u t a t ion s ys t em
30 2: Exp ect ed d ivid en d ba s ed on a t a r get p a you t a p p r oa ch
Expecteddividend=Div
t
1+EPS
t+1
*targetpayoutratio*adjustmentfactor
342: Boot s t r a p p in g ea r n in gs p er s h a r e
351: HHI
IndexHHI=
2
1
( 100)
n
i
i
MS
=
359: Va lu in g a m er ge r t a r get u s in g com p a r a ble com p a n y a n a lys is
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362: Va lu in g a m er ge r t a r get u s in g com p a r a ble t r a n s a ct ion a n a lys is
367: Eva lu a t in g a m er ger bid
V
AT
=V
A
+V
T
+SC(S=synergies,C=cashpaidtotarget)
GainstoTarget:Gain
T
=TP=P
T
V
T
GainstoAcquirer:Gain
A
=STP=S(P
T
V
T
)
Priceoftargetinstockdeal:P
T
=N P
AT
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Equ it y r ef t o Book 3
74: Em er gin g m a r ket
FCF = NOPLAT +Dep Fcinv Wcinv
NOPLAT = EBIT TAXES
96: On e- p er iod DDM
0
1
(1 )
t
t
t
D
V
r
=
=
+
97: Two- p er iod DDM
0 0
0
1
(1 ) (1 ) (1 )
(1 ) (1 ) ( )
t n n
s s L
t n
t
L
D g D g g
V
r r r g
=
+ + +
= +
+ +
98 : Th r ee- p er iod DDM
10 0 : GGM
0 1
0
(1 ) D g D
V
r g r g
+
= =
114: H-m od el
| | | |
0 0
(1 ) ( )
L s L
o
L
D g D H g g
V
r g
+ +
=
10 2: PVGO
V
0
=E
0
/r+PVGO
119: SGR
g=bROE=bROAL=b(netprofitmargin) (assetturnover) L
144: FCin v wit h lon g t er m a s s et
FCinv=gross PP&E
end
- gross PP&E
beg
OR revised FCinv = capital expenditures proceeds from sales of long term assets
149: FCFF & FCFE
FCFF==[NI+NCCWCInv]+Int(1T)FCInv
FCFE=FCFFIntX(1t)+Netborrowing
NCC
Depreciation(+)
Amortizationofintangibles(+)
Restructuringcharges(expense)(+)
Restructuringcharges(incomeresultingforreversal)()
Amortizationoflongtermbonddiscounts(issuer)(+)
Amortizationoflongtermbondpremiums()
Deferredtaxes(+)
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Fromnetincome
FCFF=NI+NCC+IntX(1t)FCInvWCInv
FCFE=NI+NCCFCInvWCInv+Netborrowing
Fromcashflowstatement
FCFF=CFO+IntX(1t)FCInv(underUSGAAP);
FCFE=CFOFCInv+Netborrowing
UnderIFRS,interestpaidcouldberecognizedaseitherCFOorCFI.
WhenderivingtheFCFfromCFO,payattentiontotheinterestspaid.
FCFFvs.EBIT&EBITDA
FCFF=EBITX(1t)+DepFCInvWCInv;
FCFF=EBITX(1t)+DepXtFCInvWCInv;
ForecastingFreeCashFlow
FCFE=NI(1DR)(FC
I
nvDep)(1DR)WCInv
ForFCFEvaluation: 1
o
FC F F
V
r g
=
160 : Two s t a ge
1
1
1
(1 ) ( ) (1 )
n
t n
t n
t
FCFF FCFF
Firm value
WACC WACC g WACC
+
=
= +
+ +
1
1
1
(1 ) ( ) (1 )
n
t n
t n
t
FCFE FCFE
Equity value
r r g r
+
=
= +
+ +
= =
Trailing:
0
(1 )(1 ) *(1 )
/
b g PR g
P E
r g r g
+ +
= =
198 : J u s t ified P/ B
- -
Justified P/B= 1
- -
E
ROE r ROE g
r g r g
= +
198 : J u s t ified P/ S
0 0 0
0
( / )(1 )(1 ) P E S b g
S r g
+
=
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20 1: Pr ed ict ed P/ E
20 5: PEG
/ P E
PEG
g
=
20 8 : P/ CF
20 9: EV/ EBI TDA
EV = market value of common stock + market value of preferred equity + market value of
debt+minorityinterestcashandinvestments
230 : RI
234: RI va lu a t ion
RI=netincomeequitycapital*costofequity
RI
t
=E
t
(rB
t1
)=(ROEr)B
t
3 1 2
0 0 1 2 3
...
(1 ) (1 ) (1 )
RI RI RI
V B
r r r
(
= + + + +
(
+ + +
1
Equity
FCFE
V
r g
=
273: EEM
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279: GPCM
28 1: GTM
28 5: Dis cou n t for p r iva t e com p a n y
1
1
1
DLOC
control premium
(
=
(
+
Totaldiscount=1[(1DLOC)(1DLOM)]
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Alt er n a t ive r ef t o Book 4
14: Va lu a t ion r ea l es t a t e
( ) ( ) 1 1 1
n
t
t n
t
ATCF ATER
NPV I
r r =
= +
+ +
ATCF=NOIAnnualdebtservicetaxpayable
NOI=potentialgrossincomevacancyandcollectionlossesoperatingexpenses
Taxpayable=taxableincome*taxrate,Taxableincome=NOItaxdepreciationinterest
ATER=salespricesellingexpensesmortgagebalanceoutstandingtaxesonsale
Taxesonsale=taxondepreciationrecapture+taxoncapitalgain
28 : Va lu a t ion ca p it a liza t ion r a t e
Directincomecapitalization
0
0
NOI
R r g
MV
= =
bandofinvestmentmethod(BOI)
R
0
=(mortgageweight*mortgagecost)+(equityweight*equitycost)
mortgage cost: mortgage cost = annual interest cost + sinking fund factor (T*12 N,
r*100/12I/Y,0PV,1FV,CPTPMT*12assinkingfundfactor);OR,(T*12N,r*100/12I/Y,
1PV,0FV,CPTPMT*12asthemortgagecost,risannualinterestcost)
buildupmethod
R
0
=Pureinterestrate(interestrateofgovernmentbond)
+Liquiditypremium(thepremiumfortheilliquidnatureofrealestate)
+Recapturepremium(thereturnofinvestmentnetofappreciation)
+Riskpremium(thepremiumrequiredforriskexposureofagiveninvestment)
32: Rela t ive va lu a t ion on r ea l es t a t e
MV=grossincomegrossincomemultiplier(M);M
sale price
gross income
=
48 : Ca lcu la t in g p a yoff m u lt ip les a n d I RRs for equ it y in ves t or s
54: Ca lcu la t in g ca r r ied in t er es t wit h a h u r d le r a t e
55: Ap p lyin g d is t r ibu t ion wa t er fa lls m et h od s
62: Ca lcu la t in g p er for m a n ce m ea s u r es
68 : Ca lcu la t in g s h a r es is s u ed a n d s h a r e p r ice for a s econ d r ou n d fin a n cin g
PRE+INV=POST PRE=POSTINV POST=FV/(1+r)
N
f=INV/POST
Steps:
Determinethepostmoneyvaluation:POST=V/(1+r)t
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Determinethepremoneyvaluation:PRE=POSTI;
Determinetheownershipfraction:F=I/POST;
ObtaintheNo.ofshares:y=x[F/(1F)]
Obtainthepriceofshares:p1=I/y;
70 : Ad ju s t in g t h e d is cou n t r a t e for t h e p r ob a bilit y of fa ilu r e
1
* 1
1 1
r r
r
t
t t
+ +
= =
71: Scen a r io a n a lys is t o a r r ive a t a n exp ect ed t er m in a l va lu e
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Fixed in com e r ef t o Book 4
112: An a lyzin g ca p it a liza t ion r a t ios
Long-term debt to capitalization ratio
longterm debt
longterm debt+minority interest+common&preferred equity
=
current liabilities
current liabilit
Total debt to capitalization ratio
+longterm debt
+longterm debt+minority interest+common&preferred eq i y es uit
=
113: An a lyzin g cover a ge r a t ios
EBITDA
annual interest expense
EBIT
annual interest expense
Callableconvertiblebondvalue
=Straightvalueofbond
+Valueofthecalloptiononthestock
Valueofthecalloptiononthebond
Callableandputableconvertiblebondvalue
=valueofstraightbond
+valueofcalloptiononstock
valueofcalloptiononbond
+valueofputoptiononbond
197: Ca lcu la t in g a m or t ga ge p a ym en t
20 1: Com p u t in g t h e SMM
20 3: Ca lcu la t in g p r ep a ym en t a m ou n t
1
12
6% 1 (1 )
30
( )
x x
m begin at m
x
CPR CPR mPSA m CPR SMM CPR
PRE SMM Mort Scheduled principal pay for m
= = = =
=
20 7-20 8 : Ca lcu la t in g p r in cip a l p a ym en t s on a s equ en t ia l p a y t r a n ch e
236: SMM ca lcu la t ion for ABS
259: OAS a n a lys is of a n MBS
261-262: As s es s in g in t er es t r a t e r is k
M
min max
. P .
. . . .
. .
int
. .
.
.
M
S
straight value
value
conv value stock conv ratio
P ofbond
P
mark conv prem perS conv ratio
prem payback prd
coup
fav income diff perS
div perS
conv ratio
=
=
| |
|
\ .
= =
(
+
(
;
Price:
FP(onTbill)=S
0
*(1+R
f
)
T
FP(onanequitysecurity)=(S
0
PVD)*(1+R
f
)
T
=[S
0
*(1+R
f
)
T
]FVD
FP(onanequityindex)=S
0
*e
(Rfg)*T
=(S
0
*e
g*T
)*e
Rf*T
FP(onafixedincomesecurity)=(S
0
PVC)*(1+R
f
)
T
=[S
0
*(1+R
f
)
T
]FVC
FP(currencyforwardcontract)=S
0
*[(1+R
DC
)
T
/(1+R
FC
)
T
)]
Value:
V
t
(longpositionduringlifeofcontractonTbill)=S
t
[FP/(1+R
f
)
Tt
)]
V
t
(longpositiononequity)=(S
t
PVD
t
)[FP/(1+R
f
)
Tt
)]
V
t
(longpositiononafixedincomesecurity)=(S
t
PVC
t
)[FP/(1+R
f
)
Tt
)]
V
t
(currencyforwardcontract)=[S
t
/[(1+R
FC
)
Tt
]/[F
T
/(1+R
DC
)
Tt
)]
23: Ca lcu la t in g t h e p r ice of a n FRA
25: Ca lcu la t in g va lu e of a n FRA a t m a t u r it y ( i. e. , cu b p a ym en t a t s et t lem en t )
26: Ca lcu la t in g va lu e of a n FRA p r ior t o s et t lem en t
pricingFRA:(1+L
(m)
m/360)(1+FRn/360)=(1+L
(m+n)
(m+n)/360)
valuinganFRAatmaturity/priortomaturity
t
m-t m+n-t
n
1+FRA
1
360
V= -
m-t m+n-t
1+L 1+L
360 360
41: Fu t u r es ca s h a n d ca r r y a r bit r a ge
42: Fu t u r e s r ever s e cu b a n d ca r r y a r bit r a ge
46: Ca lcu la t in g t h e p r ice of a T-bill fu t u r es con t r a ct
48 : Ca lcu la t in g t h e p r ice of a Tr ea s u r y bon d fu t u r es con t r a ct
48 : Pr icin g a T-Bon d fu t u r es con t r a ct wit h a d eliver y op t ion
49: Ca lcu la t in g t h e p r ice of a s t ock fu t u r es con t r a ct
50 : Ca lcu la t in g t h e va lu e of a fu t u r es con t r a ct on a n equ it y in d ex
51: Ca lcu la t e t h e p r ice of a cu r r e n cy fu t u r es con t r a ct
Leading Global Wealth Management Practice page 19
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0
FP (1 ) FV(NC)
T
f
S R = + ;
0
FP (1 ) FV(NB)
T
f
S R = +
Treasurybondfuturescontractprice:
T
f
1
FP bond price (1+R ) FVC
CF
( =
Equityfuturesprice: FVD R S stock FP
T
f
+ = ) 1 ( ) (
0
Equityindexfuturesprice:
T R
e S index FP
) (
0
) (
o
=
60 : Us in g p u t -ca ll p a r it y
0 0 0
(1 )
T
f
X
C P S
R
+ = +
+
60 : Exp loit in g viola t ion of p u t -ca ll p a r it y
63: Ca lcu la t in g ca ll op t ion va lu e wit h a on e-p er iod bin om ia l m e
1
(1 )
1
f
f
R d
C C
C
R u d
+
+
t + t
= t =
+
64: Va lu in g a on e-p er iod p u t op t ion on a s t ock
65: Ca lcu la t in g a r bit r a ge p r ofit
p
2
=w
1
2
1
2
+w
2
2
2
2
+2w
1
w
2
COV
1,2
=w
1
2
1
2
+w
2
2
2
2
+2w
1
w
2
1,2
160 : Ca lcu la t in g t h e va r ia n ce for a n equ a lly-weigh t ed p or t folio
2
2
1 1
cov
p
n
n n
o = o +
2 2
1
p
n
o = o +
167: Ca lcu la t in g exp ect ed r et u r n fr om t h e CAL
167: Ca lcu la t in g s t a n d a r d d evia t ion fr om t h e CAL
( )
( )
T
T F
P F P
R
E R R
E R R o
o
= +
175: Us in g t h e Sh a r p e r a t io
Sharpratio=
p f
p
r r
o
224: Ca lcu la t in g t h e d om es t ic cu r r en cy ex-p os t r et u r n
227: Ca lcu la t in g a for e ign cu r r en cy r is k p r em iu m
230 : Ca lcu la t in g exp ect ed r et u r n wit h t h e I CAPM