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Valuation

gif : VaR of asset

gif : the market capitalization or stock value

gif   : stock price of state gif  

gif : the underlying stock price on the expiration data, gif

gif : the upstate movement of the stock

gif : the downstate movement of the stock

 

gif : t he price of a gif   time to maturity zero coupon bond, at time gif   and state gif

gif : the gif -year bond values at time t without default risk

gif : the probability of default at time t for a bond with gif  time to maturity

gif : the initial discount function, prices of zero coupon bonds with a face value of $1 and with maturity gif  

gif : the value of the swaption, which expires at time gif , on a swap with tenor gif   at time t

 

gif : the gif -year bond values at time t without default risk

gif : the entries in each lattice for double-up sinking fund where j denotes the gif -th case, gif  the period, and gif  the state

gif : the callable bond price in the gif -th state and the gif -th period

gif : bond with time to maturity gif  at time n and state gif  

gif : the price of a zero coupon bond with maturity gif

gif : the deposit level

gif : the market value of the debt

 

 

gif : interest rate option value at time n and state gif  

gif : coupon payment

gif: face value

gif: dividend

 

gif: the forward or futures price

gif: the futures price or forward price at the initial with the expiration date gif  delivering gif-year maturity bond. Here gif denotes the calendar time and gif denotes the time-to-maturity.

gif: the futures price or forward price at time gif with the expiration date gif delivering gif-year maturity bond.  

 

gif: caplet

 

gif: the present path-wise value where k denotes the index for the path

gif: the present path-wise value for the primary decomposition of the security

 

gif: the value of a European futures option, a European call option or the value of a bond call option

gif: the call price or the payoff to call option on the expiration date gif

gif: the put option price at the expiration date

gif: conversion price

 

gif: income to the bank on a total return basis

gif: the sale volume over the reporting period

gif: the investment value of the bond

gif: the payout as expenses

 

gif the project value

gif: the project value at the upstate

gif: the project value at the downstate

 

gif: the value of the firm at each node

gif: the (firm) value at the upstate

gif: the (firm) value in the downstate

gif: the fixed-cost firm

gif: the primitive firm at the upstate

gif: the primitive firm at the downstate

 

gif: the annual maintenance costs

gif: the cash inflow

gif: the net cash flow

gif: free cash flow

gif: the free cash flow at time n, state gif

 

gif: cash position

gif: the wealth level or the warrant

gif: a proportion in the portfolio

gif: the market value of the fixed costs

gif: the value of the growth option

gif: fixed assets

gif: fixed cost

 

gif: firm value

gif: levered firm (value)

gif: un-levered firm (value)

gif: the market observed value of the financial contract

gif the primitive firm value

gif the fixed cost firm value

 

gif: objective function

gif: the target dividend for the next period

gif: net funding

gif: new borrowing

gif: paydown of liabilities

gif: new volume sales

gif: the operating expenses for the period

gif: the present value of bankruptcy costs

gif: the present value

gif: utility function

gif: a cash dividend at the upstate

gif: a cash dividend at the downstate

gif: investment size

 

 

Rates

gif: the forward rate for the period between time gif and gif

gif: one-period forward rate or the instantaneous forward rate

gif: the yield curve movement

gif: continuously compounded stock return

gif: the gross profit margin

gif: the required rate of return of the stock

gif: the yield of the bond gif

gif: the yield to maturity

gif: continuously compounding risk free rate

gif: the one-period interest rate or the discount factor

gif: the deposit rate determined by the bank

gif: the market interest rate

gif: one period risk free rate

gif: the discount rate

gif: mean of return of asset gif

gif: interest rate time gif 

gif : total return of the assets

gif: total return of the liabilities

gif: the corporate marginal tax rate

gif: tax rate

gif: the cost of equity

gif: market return rate

gif: the transfer pricing curve

gif: the deposit rate set at time gif 

gif: a cap rate

 

gif: the market short term rate at time gif

gif: the cost of debt

gif: the cost of capital

gif: the corporate tax

gif: the personal marginal tax rate on interests

gif: The personal marginal capital gain tax rate on equity

gif: the gross return on investment

gif: the constant real risk free rate

cgif: the convenient yield

gif: t-year interest rate at time n and state gif 

gif: one-period interest rate for time n and state gif

gif: one-period interest rate for time n and state gif, gif

gif: risk premium

gif: growth rate

gif: coupon rate

gif: the continuously compounding yield

gif: a spot curve

gif: the interest rate which will be applied during the period of t to gif when t and gif denote calendar time

gif: the yield to maturity of the zero coupon bond with maturity gif at time gif 

gif: the return of market portfolio

 

Time

 

gif: time horizon

gif: the number of years to the payment date at time 0

gif: swap delivery date

gif: the tenor of a swap

gif: the expiration date of the option

gif: the maturity of the underlying bond

gif: a reset date

gif: the reset period gif

gif: time to maturity

gif: an infinitesimal time interval

gif: gif-th key rate duration

gif : knot point

 

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