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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

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

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

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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).

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

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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).

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

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

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

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

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

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

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

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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

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

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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

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

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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>

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

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

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

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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.

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)

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

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

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#bloch-effective-java-2ed #java

Book on effective use of Java, must-read when you prepare for an interview as a Java programmer. I was reading the book and every flashcard or article I created were annotated like this: #bloch-effective-java-2ed #java #pXX, where XX is page number. The book can be found in amazon.co.uk

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#bloch-effective-java-2ed #java #p109

A class or interface whose declaration has one or more type parameters is a generic class or interface.

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A class or interface whose declaration has one or more type parameters is a generic class or interface.

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A class or interface whose declaration has one or more type parameters is a generic class or interface.

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#bloch-effective-java-2ed #java #p109

Each generic type defines a set of parameterized types, which consist of the class or interface name followed by an angle-bracketed list of actual type parameters corresponding to the generic type’s formal type parameters.

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Each generic type defines a set of parameterized types, which consist of the class or interface name followed by an angle-bracketed list of actual type parameters corresponding to the generic type’s formal type parameters.</bo

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Each generic type defines a set of parameterized types, which consist of the class or interface name followed by an angle-bracketed list of actual type parameters corresponding to the generic type’s formal type parameters.

#bloch-effective-java-2ed #java #p109

Each generic type defines a raw type, which is the name of the generic type used without any accompanying actual type parameters

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Each generic type defines a raw type, which is the name of the generic type used without any accompanying actual type parameters

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Each generic type defines a raw type, which is the name of the generic type used without any accompanying actual type parameters

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#bloch-effective-java-2ed #java #p115

TermExampleParameterized typeList<String>Actual type parameterStringGeneric typeList<E>Formal type parameterEUnbounded wildcard typeList<?>Raw typeListBounded type parameter<E extends Number>Recursive type bound<T extends Comparable<T>>Bounded wildcard typeList<? extends Number>Generic method static<E> List<E> asList(E[] a)Type tokenString.class

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TermExampleParameterized typeListActual type parameterStringGeneric typeListFormal type parameterEUnbounded wildcard typeListRaw typeListBounded type parameterRecursive type bound>Bounded wildcard typeListGeneric

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TermExampleParameterized typeListActual type parameterStringGeneric typeListFormal type parameterEUnbounded wildcard typeListRaw typeListBounded type parameterRecursive type bound>Bounded wildcard typeListGeneric method static List asLis

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TermExampleParameterized typeListActual type parameterStringGeneric typeListFormal type parameterEUnbounded wildcard typeListRaw typeListBounded type parameterRecursive type bound>Bounded wildcard typeListGeneric method static List asList(E[] a)Type token

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TermExampleParameterized typeListActual type parameterStringGeneric typeListFormal type parameterEUnbounded wildcard typeListRaw typeListBounded type parameterRecursive type bound>Bounded wildcard typeListGeneric method static List asList(E[] a)Type tokenString.class

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TermExampleParameterized typeListActual type parameterStringGeneric typeListFormal type parameterEUnbounded wildcard typeListRaw typeListBounded type parameterRecursive type bound>Bounded wildcard typeListGeneric method static List asList(E[] a)Type tokenString.class

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TermExampleParameterized typeListActual type parameterStringGeneric typeListFormal type parameterEUnbounded wildcard typeListRaw typeListBounded type parameterRecursive type bound>Bounded wildcard typeListGeneric method static List asList(E[] a)Type tokenString.class

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TermExampleParameterized typeListActual type parameterStringGeneric typeListFormal type parameterEUnbounded wildcard typeListRaw typeListBounded type parameterRecursive type bound>Bounded wildcard typeListGeneric method static List asList(E[] a)Type tokenString.class

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TermExampleParameterized typeListActual type parameterStringGeneric typeListFormal type parameterEUnbounded wildcard typeListRaw typeListBounded type parameterRecursive type bound>Bounded wildcard typeListGeneric method static List asList(E[] a)Type tokenString.class

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TermExampleParameterized typeListActual type parameterStringGeneric typeListFormal type parameterEUnbounded wildcard typeListRaw typeListBounded type parameterRecursive type bound>Bounded wildcard typeListGeneric method static List asList(E[] a)Type tokenString.class

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tml>TermExampleParameterized typeListActual type parameterStringGeneric typeListFormal type parameterEUnbounded wildcard typeListRaw typeListBounded type parameterRecursive type bound>Bounded wildcard typeListGeneric method static List asList(E[] a)Type tokenString.class<html>

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xampleParameterized typeListActual type parameterStringGeneric typeListFormal type parameterEUnbounded wildcard typeListRaw typeListBounded type parameterRecursive type bound>Bounded wildcard typeListGeneric method static List asList(E[] a)<span>Type tokenString.class<span><body><html>

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