Fundamentals of Financial Instruments. Sunil K. Parameswaran

TABLE 2.6 An Amortization ScheduleTABLE 2.7 Amortization with a Balloon PaymentTABLE 2.8 Equal Principal Repayment Schedule

      3 Chapter 3TABLE 3.1 Asset ReturnsTABLE 3.2 Earnings RecordTABLE 3.3 Dividend Distribution: The Case of Noncumulative SharesTABLE 3.4 Dividend Distribution: The Case of Cumulative SharesTABLE 3.5 Valuation of Cash Flows as Per the Three-Stage ModelTABLE 3.6 Prices of the Constituent Stocks on the Base DateTABLE 3.7 Prices of the Constituent Stocks on the Following DayTABLE 3.8 Prices of the Constituent Stocks on the Following Day, Assuming a ...TABLE 3.9 Theoretical Post-Split Stock PricesTABLE 3.10 Prices of the Component Stocks of the Reconstituted IndexTABLE 3.11 Prices of the Constituent Stocks on a Given DayTABLE 3.12 Prices on the Following Day: Two Different ScenariosTABLE 3.13 Prices, Number of Shares Outstanding, and Market Capitalization o...TABLE 3.14 Prices, Number of Shares Outstanding, and Market Capitalization o...TABLE 3.15 Market Capitalization of the Component Stocks of the Reconstitute...TABLE 3.16 Prices of the Stocks Constituting an Equally Weighted Index at th...TABLE 3.17 Prices of the Stocks Constituting an Equally Weighted Index on th...TABLE 3.18 Components of a Value-weighted IndexTABLE 3.19 Components of a Value-weighted IndexTABLE 3.20 Tick Sizes on the TSETABLE 3.21 Illustration of Uptick, Downtick, and Zero Tick

      4 Chapter 4TABLE 4.1 Illustration of LeverageTABLE 4.2 Illustration of a Tax ShieldTABLE 4.3 Calculation of the NumeratorTABLE 4.4 Calculation of the DenominatorTABLE 4.5 Investment Grade RatingsTABLE 4.6 Speculative Grade RatingsTABLE 4.7 Cash Flows from a Two-Year BondTABLE 4.8 Prices of Plain-Vanilla Bonds with Varying Times to MaturityTABLE 4.9 Vector of Spot RatesTABLE 4.10 Computation of DurationTABLE 4.11 Computation of ConvexityTABLE 4.12 An Immunized PortfolioTABLE 4.13 Index Levels, Inflation Rates, and Index RatiosTABLE 4.14 Cash Flows for a P-LinkerTABLE 4.15 Cash Flow for a C-Linker

      5 Chapter 5TABLE 5.1 Major Central BanksTABLE 5.2 The District Federal Reserve BanksTABLE 5.3 Bids in Ascending Order of YieldTABLE 5.4 Day-Counts for Valuing the Term CD

      6 Chapter 6TABLE 6.1 Observed Futures PricesTABLE 6.2 Margin Account of the LongTABLE 6.3 Margin Account of the ShortTABLE 6.4 Illustration of a Contango MarketTABLE 6.5 Illustration of a Backwardation MarketTABLE 6.6 Spot Prices Prior to ExpirationTABLE 6.7 Spot Prices and Delivery-Adjusted Spot Prices at ExpirationTABLE 6.8 Prices, Number of Shares Outstanding, and Market CapitalizationTABLE 6.9 Prices, Number of Shares Outstanding, and Market Capitalization on...

      7 Chapter 7TABLE 7.1 Illustration of Put-Call Parity: Strategy 1TABLE 7.2 Illustration of Put-Call Parity: Strategy 2TABLE 7.3 Illustration of Put-call Parity for a Dividend-paying StockTABLE 7.4 Lower Bound for Call OptionsTABLE 7.5 Payoffs and Profits for Long Call and Put PositionsTABLE 7.6 Payoffs and Profits for Short Call and Put PositionsTABLE 7.7 Profit from the Hedged Position for Various Values of the Terminal...TABLE 7.8 Profit from the Hedged Position for Various Values of the Terminal...TABLE 7.9 Payoffs from a Bull Spread with CallsTABLE 7.10 Payoffs from a Bull Spread with PutsTABLE 7.11 Profit from the Bull SpreadTABLE 7.12 Payoffs from a Bear Spread with CallsTABLE 7.13 Payoffs from a Bear Spread with PutsTABLE 7.14 Profit from the Bear SpreadTABLE 7.15 Payoffs from a Long Butterfly SpreadTABLE 7.16 Premiums for Call OptionsTABLE 7.17 Profit from the Butterfly SpreadTABLE 7.18 Payoffs from a Long StraddleTABLE 7.19 Profit from a Long StraddleTABLE 7.20 Payoffs from an Out-of-the-money Long StrangleTABLE 7.21 Payoffs from an In-the-money Long StrangleTABLE 7.22 Profit from a Long Strangle

      8 Chapter 8TABLE 8.1 Symbols for Major Currencies

      9 Chapter 9TABLE 9.1 Observed Values for LIBORTABLE 9.2 Observed Values for LIBORTABLE 9.3 Mortgage Rates in the Presence of a CapTABLE 9.4 Observed Values for LIBORTABLE 9.5 Monthly Payments & Outstanding BalancesTABLE 9.6 Illustration of Negative AmortizationTABLE 9.7 Monthly Payments for a GPMTABLE 9.8 Amortization Schedule for a GPMTABLE 9.9 Mortgage Loans, Their Rates, and Times to MaturityTABLE 9.10 Calculation of WAC and WAMTABLE 9.11 Amortization Schedule in the Absence of PrepaymentsTABLE 9.12 Amortization Schedule in the Presence of PrepaymentsTABLE 9.13 Cash Flows for a Security with a Par Value of $1.000TABLE 9.14 Bond Equivalent YieldsTABLE 9.15 Cash Flows Assuming 100 PSATABLE 9.16 Cash Flows Assuming 200 PSATABLE 9.17 Amortization for Tranche ATABLE 9.18 Amortization for Tranche BTABLE 9.19 Amortization for Tranche CTABLE 9.20 Amortization for Tranche DTABLE 9.21 Maturity and Average Life of the SecuritiesTABLE 9.22 Amortization for Tranche A in the Presence of a Z-bondTABLE 9.23 Amortization for Tranche B in the Presence of a Z-bondTABLE 9.24 Amortization for Tranche C in the Presence of a Z-bondTABLE 9.25 Amortization for the Z-BondTABLE 9.26 Maturity and Average Life of the Securities in the Presence of a ...TABLE 9.27 Coupon Rates for a Sequential Pay CMOTABLE 9.28 Principal Payments for a 100 PSA to 250 PSA RangeTABLE 9.29 Principal Payments at 150 PSATABLE 9.30 Principal Payments at 250 PSATABLE 9.31 Principal Payments at 0 PSATABLE 9.32 Principal Payments at 400 PSA

      10 Chapter 10TABLE 10.1 6-M Libor as Observed at Six-Monthly IntervalsTABLE 10.2 Amounts Payable by the Two CounterpartiesTABLE 10.3 Cash Flows for a Fixed-Fixed Currency SwapTABLE 10.4 Bid–Ask Quotes for Euro-denominated IRSTABLE 10.5 Observed Term StructureTABLE 10.6 Discount Factors as per Market ConventionTABLE 10.7 The Term Structure of Interest Rate After Two MonthsTABLE 10.8 Term Structure for US Dollars and the Euro

      11 Chapter 11TABLE 11.1 The Fund's Portfolio on a Given DayTABLE 11.2 The Fund's Portfolio on the Following DayTABLE 11.3 The Fund's Portfolio Composition If the Incoming Money Is Deploye...TABLE 11.4 The Fund's Portfolio Composition If the Incoming Money Is Deploye...TABLE 11.5 An Illustration of Dollar-cost AveragingTABLE 11.6 An Illustration of Value AveragingTABLE 11.7 The Year-wise NAVsTABLE 11.8 Evolution of the Reinvestment Factor Through TimeTABLE 11.9 The Dividend Payout and the NAV at the End of Each Month of the Y...TABLE 11.10 The Monthly Cash Flow Schedule for the Investor

      12 Chapter 12TABLE 12.1 Limit Order Book for XYZ Stock at 11:30 a.m. on 15 July 20XXTABLE 12.2 Limit Order Book for a StockTABLE 12.3 Illustration of a Market to Limit OrderTABLE 12.4 List of Orders Received Prior to the Market Being CalledTABLE 12.5 Computation of the Maximum Tradeable Quantity

      13 Chapter 14TABLE 14.1 Vector of Spot Rates

      List of Illustrations

      1 Chapter 1FIGURE 1.1

      2 Chapter 2FIGURE 2.1 Timeline for an AnnuityFIGURE 2.2 Timeline for an Annuity Due

      3 Chapter 3FIGURE 3.1 FIGURE 3.2 FIGURE 3.3 FIGURE 3.4 FIGURE 3.5 FIGURE 3.6 FIGURE 3.7

      4 Chapter 4FIGURE 4.1 Cash Flows from a Plain-Vanilla BondFIGURE 4.2 Evolution of the Short RateFIGURE 4.3 A Segment of the Short-Rate TreeFIGURE 4.4 The Price-yield Relationship

      5 Chapter 6FIGURE 6.1 Profit Profile – Long FuturesFIGURE 6.2 Profit Profile – Short Futures

      6 Chapter 7FIGURE 7.1 Profit Diagram for a Long Call PositionFIGURE 7.2 Profit Diagram for a Long Put PositionFIGURE 7.3 Profit Diagram for a Short Call PositionFIGURE 7.4 Profit Diagram for a Short Put PositionFIGURE 7.5 Stock Price Tree for the One-period CaseFIGURE 7.6 Stock Price Tree for the Two-period CaseFIGURE 7.7 Stock Price Tree for the Two-period ExampleFIGURE 7.8 Profit Profile: Bull SpreadFIGURE 7.9 Profit Profile: Bear SpreadFIGURE 7.10 Profit Profile: Butterfly SpreadFIGURE 7.11 Profit Profile: StraddleFIGURE 7.12 Profit Profile: Strangle

      7 Chapter 8FIGURE 8.1 The Evolution of the Exchange Rate

      8 Chapter 14FIGURE 14.1 No-Arbitrage Interest Rate TreeFIGURE 14.2 State Price Tree

      Guide

      1  Cover

      2  Table of Contents

      3  Title Page

      4