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

  1. 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

  2. interest rate derivative related effect interest rate calculation


Anything to add?

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?

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)