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Major calculation blocks

What are some of the major calculation you guys have in mind, just want to make sure I can think through the analysis process before the test, here is my list

1.forward contract valuation

2.interest rate swap contract value calculation

3. Currency swap  - no face value exchange, periodic payment exchange with initial face value exchange, borrow foreign currency by exchanging face value with the counter party

4. interest rate derivative related effect interest rate calculation


Anything to add?

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What is your number 5?

miltownanalyst wrote:

What is your number 5?

NPCI = Net Payment Cost Index

NSCI = Net Surrender Cost Index

1. Different tax calcs 

2. Taylor rule/bond yield + risk premium

3. Grinold Kroner/Singer Terhaar/H-model

4. Hedging decision for fixed income (IRP,PPP) 

5. Breakeven Analysis/Modifying dollar duration 

6. EAR 

7. Notional principal for swap 

8. Hedged currency return/risk

9. Micro performance eval 

10. Implementation shortfall 

11. Corner portfolios 

12. Leveraged duration/leveraged return 

13. Altering duration/beta/allocation using futures 

14. Option position values/breakeven/max profit and loss 

15. Delta hedging 

16. PV of Human capital 

How is pv of human capital calculated? Just discount future earning right?

h21 wrote:

How is pv of human capital calculated? Just discount future earning right?

Pretty much, unless they give you the mortality expectations then you need to incorporate probability of survival.

safety margin

equitize cash

pre investing

CPPI cushion

equity/tobin q

different formulas to calculate cov/beta/corr

bond equivalent yield always gets me (comes up in a TT)