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Annotation 149624601

#finance #greeks #has-images

Spot
Price (S)		Volatility
(\sigma)		Time to
Expiry (\tau)
Value (V) \Delta Delta\nu Vega\Theta Theta
Delta (\Delta) \Gamma GammaVannaCharm
Vega (\nu) VannaVomma
[…]
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Greeks (finance) - Wikipedia, the free encyclopedia
or4.2 Speed4.3 Ultima4.4 Zomma 5 Greeks for multi-asset options6 Formulas for European option Greeks7 Related measures 7.1 Bond duration and convexity7.2 Beta7.3 Fugit 8 See also9 Notes10 References11 External links Use of the Greeks[edit] <span>Spot Price (S)Volatility ()Time to Expiry ()Value (V) Delta Vega ThetaDelta () GammaVannaCharmVega () VannaVommaVetaGamma () SpeedZommaColorVomma UltimaTotto Definition of Greeks as the sensitivity of an option's price and risk (in the first column) to the underlying parameter (in the first row). First-order Greeks are in blue, second-order Greeks are in green, and third-order Greeks are in yellow. Note that vanna appears twice as it should, and rho is left out as it is not as important as the rest. The Greeks are vital tools in risk management. Each Greek measures the sensitivity of the value of a portfolio to a small change in a given underlying parameter, so that component risks



Flashcard 149626363

Tags
#bonds #duration #finance
Question
For most practical calculations, the Macaulay duration is calculated using the [...]

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For most practical calculations, the Macaulay duration is calculated using the yield to maturity

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Bond duration - Wikipedia, the free encyclopedia
ey are and the final large circle including the final principal repayment. If these circles were put on a balance beam, the fulcrum of the beam would represent the weighted average distance (time to payment), which is 1.78 years in this case. <span>For most practical calculations, the Macaulay duration is calculated using the yield to maturity to calculate the : (2) (3) where: indexes the cash flows, is the present value of the th cash payment from an asset, is the cash flow of the th payment from an asset, is the y






Flashcard 149626370

Tags
#bonds #duration #finance
Question
DV01 is the ratio of a [...]to unit change in input (a basis point of yield).
Answer
price change in output (dollars)

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DV01 is the ratio of a price change in output (dollars) to unit change in input (a basis point of yield).

Original toplevel document

Bond duration - Wikipedia, the free encyclopedia
to yield: so that it is the product of the modified duration and the price (value): ($ per 1 percentage point change in yield) or ($ per 1 basis point change in yield) The DV01 is analogous to the delta in derivative pricing (The Greeks) – <span>it is the ratio of a price change in output (dollars) to unit change in input (a basis point of yield). Dollar duration or DV01 is the change in price in dollars, not in percentage. It gives the dollar variation in a bond's value per unit change in the yield. It is often measured per 1 bas






Flashcard 149626377

Tags
#bonds #duration #finance
Question
DV01 is the ratio of a price change in output (dollars) to [...].
Answer
unit change in input (a basis point of yield)

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DV01 is the ratio of a price change in output (dollars) to unit change in input (a basis point of yield).

Original toplevel document

Bond duration - Wikipedia, the free encyclopedia
to yield: so that it is the product of the modified duration and the price (value): ($ per 1 percentage point change in yield) or ($ per 1 basis point change in yield) The DV01 is analogous to the delta in derivative pricing (The Greeks) – <span>it is the ratio of a price change in output (dollars) to unit change in input (a basis point of yield). Dollar duration or DV01 is the change in price in dollars, not in percentage. It gives the dollar variation in a bond's value per unit change in the yield. It is often measured per 1 bas






Flashcard 149626385

Tags
#bonds #duration #finance
Question
[another name of DV01, not the meaning of the abbreviation DV01] or DV01 is the change in price in dollars, not in percentage.
Answer
Dollar duration

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Dollar duration or DV01 is the change in price in dollars, not in percentage.

Original toplevel document

Bond duration - Wikipedia, the free encyclopedia
e point change in yield) or ($ per 1 basis point change in yield) The DV01 is analogous to the delta in derivative pricing (The Greeks) – it is the ratio of a price change in output (dollars) to unit change in input (a basis point of yield). <span>Dollar duration or DV01 is the change in price in dollars, not in percentage. It gives the dollar variation in a bond's value per unit change in the yield. It is often measured per 1 basis point - DV01 is short for "dollar value of an 01" (or 1 basis poi






Flashcard 149626396

Tags
#bonds #duration #finance
Question
Dollar duration or [short name of dollar duration] is the change in price in dollars, not in percentage.
Answer
DV01

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Dollar duration or DV01 is the change in price in dollars, not in percentage.

Original toplevel document

Bond duration - Wikipedia, the free encyclopedia
e point change in yield) or ($ per 1 basis point change in yield) The DV01 is analogous to the delta in derivative pricing (The Greeks) – it is the ratio of a price change in output (dollars) to unit change in input (a basis point of yield). <span>Dollar duration or DV01 is the change in price in dollars, not in percentage. It gives the dollar variation in a bond's value per unit change in the yield. It is often measured per 1 basis point - DV01 is short for "dollar value of an 01" (or 1 basis poi






Flashcard 149626407

Tags
#bonds #duration #finance
Question
Dollar duration or DV01 is the change in price in [...], not in [...].
Answer
in dollars, not in percentage

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Dollar duration or DV01 is the change in price in dollars, not in percentage.

Original toplevel document

Bond duration - Wikipedia, the free encyclopedia
e point change in yield) or ($ per 1 basis point change in yield) The DV01 is analogous to the delta in derivative pricing (The Greeks) – it is the ratio of a price change in output (dollars) to unit change in input (a basis point of yield). <span>Dollar duration or DV01 is the change in price in dollars, not in percentage. It gives the dollar variation in a bond's value per unit change in the yield. It is often measured per 1 basis point - DV01 is short for "dollar value of an 01" (or 1 basis poi






Flashcard 149626419

Tags
#bonds #finance #yield-to-maturity #z-spread
Question
Given a single series of nominal cash flows (like a riskless bond). If these payments are discounted to net present value with a static [...]yield curve the sum of their values will tend to overestimate the market price of the priced instrument. The parallel shift, which, if applied to the yield curve makes the NPV of the anticipated receipts equal to the market price is the Yield curve spread (aka Z-spread).
Answer
treasury

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Given a single series of nominal cash flows (like a riskless bond). If these payments are discounted to net present value with a static treasury yield curve the sum of their values will tend to overestimate the market price of the priced instrument. The parallel shift, which, if applied to the yield curve makes the NPV of the ant

Original toplevel document

Z-spread - Wikipedia, the free encyclopedia
age-backed securities, a model of typical repayment rates tends to be given; for example, the PSA formula for a particular Fannie Mae MBS might equate a particular group of mortgages to an 8 year amortizing bond with a 5% mortality per annum. <span>This gives a single series of nominal cash flows (like a riskless bond). If these payments are discounted to net present value with a static treasury yield curve the sum of their values will tend to overestimate the market price of the MBS. The parallel shift, which, if applied to the yield curve makes the NPV of the anticipated receipts equal to the market price is the Yield curve spread. The Z-spread of a bond is the number of basis points one needs to add to the Treasury spot rates yield curve, so that the NPV of the bond cash flows (using the adjusted yield curve) equa






Flashcard 149626426

Tags
#bonds #finance #yield-to-maturity #z-spread
Question
Given a single series of nominal cash flows (like a riskless bond). If these payments are discounted to net present value with a static treasury yield curve the sum of their values will tend to [overestimate or underestimate?] the market price of the priced instrument. The parallel shift, which, if applied to the yield curve makes the NPV of the anticipated receipts equal to the market price is the Yield curve spread (aka Z-spread).
Answer
overestimate

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Given a single series of nominal cash flows (like a riskless bond). If these payments are discounted to net present value with a static treasury yield curve the sum of their values will tend to overestimate the market price of the priced instrument. The parallel shift, which, if applied to the yield curve makes the NPV of the anticipated receipts equal to the market price is the Yield curve

Original toplevel document

Z-spread - Wikipedia, the free encyclopedia
age-backed securities, a model of typical repayment rates tends to be given; for example, the PSA formula for a particular Fannie Mae MBS might equate a particular group of mortgages to an 8 year amortizing bond with a 5% mortality per annum. <span>This gives a single series of nominal cash flows (like a riskless bond). If these payments are discounted to net present value with a static treasury yield curve the sum of their values will tend to overestimate the market price of the MBS. The parallel shift, which, if applied to the yield curve makes the NPV of the anticipated receipts equal to the market price is the Yield curve spread. The Z-spread of a bond is the number of basis points one needs to add to the Treasury spot rates yield curve, so that the NPV of the bond cash flows (using the adjusted yield curve) equa






Flashcard 149626437

Tags
#bonds #finance #yield-to-maturity #z-spread
Question
Given a single series of nominal cash flows (like a riskless bond). If these payments are discounted to net present value with a static treasury yield curve the sum of their values will tend to overestimate the market price of the priced instrument. The [...] is the Yield curve spread (aka Z-spread).
Answer
parallel shift, which, if applied to the yield curve makes the NPV of the anticipated receipts equal to the market price

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gle series of nominal cash flows (like a riskless bond). If these payments are discounted to net present value with a static treasury yield curve the sum of their values will tend to overestimate the market price of the priced instrument. The <span>parallel shift, which, if applied to the yield curve makes the NPV of the anticipated receipts equal to the market price is the Yield curve spread (aka Z-spread).<span><body><html>

Original toplevel document

Z-spread - Wikipedia, the free encyclopedia
age-backed securities, a model of typical repayment rates tends to be given; for example, the PSA formula for a particular Fannie Mae MBS might equate a particular group of mortgages to an 8 year amortizing bond with a 5% mortality per annum. <span>This gives a single series of nominal cash flows (like a riskless bond). If these payments are discounted to net present value with a static treasury yield curve the sum of their values will tend to overestimate the market price of the MBS. The parallel shift, which, if applied to the yield curve makes the NPV of the anticipated receipts equal to the market price is the Yield curve spread. The Z-spread of a bond is the number of basis points one needs to add to the Treasury spot rates yield curve, so that the NPV of the bond cash flows (using the adjusted yield curve) equa






Flashcard 149626455

Tags
#bonds #duration #finance
Question
Macaulay duration is a weighted average [...] until repayment (measured in [...])
Answer
time until repayments, e.g. coupons and principal (measured in units of time such as years)

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Macaulay duration is a weighted average time until repayment (measured in units of time such as years)

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Bond duration - Wikipedia, the free encyclopedia
the asset. This gives the well-known relation between Macaulay duration and modified duration quoted above. It should be remembered that, even though Macaulay duration and modified duration are closely related, they are conceptually distinct. <span>Macaulay duration is a weighted average time until repayment (measured in units of time such as years) while modified duration is a price sensitivity measure when the price is treated as a function of yield, the percentage change in price with respect to yield. Units[edit] For modified du






Flashcard 149626468

Tags
#bonds #duration #finance
Question
[...]is a price sensitivity measure when the price is treated as a function of yield, the percentage change in price with respect to yield.
Answer
modified duration

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modified duration is a price sensitivity measure when the price is treated as a function of yield, the percentage change in price with respect to yield.

Original toplevel document

Bond duration - Wikipedia, the free encyclopedia
t should be remembered that, even though Macaulay duration and modified duration are closely related, they are conceptually distinct. Macaulay duration is a weighted average time until repayment (measured in units of time such as years) while <span>modified duration is a price sensitivity measure when the price is treated as a function of yield, the percentage change in price with respect to yield. Units[edit] For modified duration the common units are the percent change in price per one percentage point change in yield per year (for example yield going from 8% per year (y = 0.08)






Flashcard 149626487

Tags
#bonds #finance #yield-to-maturity #z-spread
Question
Conventionally, the zero rates for calculating Z-spread are determined from the Treasury curve, with [...]compounding.
Answer
semi-annual

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Conventionally, the zero rates for calculating Z-spread are determined from the Treasury curve, with semi-annual compounding.

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Z-spread - Wikipedia, the free encyclopedia
onal factors such as liquidity and credit risk. The Z-spread quantifies the impact of these additional factors. It is the spread you need to add to the curve you are discounting with in order to generate a price that matches the market price. <span>Conventionally, the zero rates are determined from the Treasury curve, with semi-annual compounding. The Problem with YTM spreads[edit] Coupon Paying bonds are essentially portfolios of Zero Coupon Bond components and the Yield to Maturity of such instruments can be thought of as being