Major calculation blocks

A

archived_user

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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
5.NPCI/NSCI
Anything to add?
 
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?
Click to expand...
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)
 
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