Valuation

: VaR of asset

: the market capitalization or stock value

  : stock price of state  

: the underlying stock price on the expiration data,

: the upstate movement of the stock

: the downstate movement of the stock

 

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

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

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

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

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

 

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

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

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

: bond with time to maturity  at time n and state  

: the price of a zero coupon bond with maturity

: the deposit level

: the market value of the debt

 

 

: interest rate option value at time n and state  

: coupon payment

: face value

: dividend

 

: the forward or futures price

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

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

 

: caplet

 

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

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

 

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

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

: the put option price at the expiration date

: conversion price

 

: income to the bank on a total return basis

: the sale volume over the reporting period

: the investment value of the bond

: the payout as expenses

 

 the project value

: the project value at the upstate

: the project value at the downstate

 

: the value of the firm at each node

: the (firm) value at the upstate

: the (firm) value in the downstate

: the fixed-cost firm

: the primitive firm at the upstate

: the primitive firm at the downstate

 

: the annual maintenance costs

: the cash inflow

: the net cash flow

: free cash flow

: the free cash flow at time n, state

 

: cash position

: the wealth level or the warrant

: a proportion in the portfolio

: the market value of the fixed costs

: the value of the growth option

: fixed assets

: fixed cost

 

: firm value

: levered firm (value)

: un-levered firm (value)

: the market observed value of the financial contract

 the primitive firm value

 the fixed cost firm value

 

: objective function

: the target dividend for the next period

: net funding

: new borrowing

: paydown of liabilities

: new volume sales

: the operating expenses for the period

: the present value of bankruptcy costs

: the present value

: utility function

: a cash dividend at the upstate

: a cash dividend at the downstate

: investment size

 

 

Rates

: the forward rate for the period between time  and

: one-period forward rate or the instantaneous forward rate

: the yield curve movement

: continuously compounded stock return

: the gross profit margin

: the required rate of return of the stock

: the yield of the bond

: the yield to maturity

: continuously compounding risk free rate

: the one-period interest rate or the discount factor

: the deposit rate determined by the bank

: the market interest rate

: one period risk free rate

: the discount rate

: mean of return of asset

: interest rate time  

 : total return of the assets

: total return of the liabilities

: the corporate marginal tax rate

: tax rate

: the cost of equity

: market return rate

: the transfer pricing curve

: the deposit rate set at time  

: a cap rate

 

: the market short term rate at time

: the cost of debt

: the cost of capital

: the corporate tax

: the personal marginal tax rate on interests

: The personal marginal capital gain tax rate on equity

: the gross return on investment

: the constant real risk free rate

c: the convenient yield

: t-year interest rate at time n and state  

: one-period interest rate for time n and state

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

: risk premium

: growth rate

: coupon rate

: the continuously compounding yield

: a spot curve

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

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

: the return of market portfolio

 

Time

 

: time horizon

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

: swap delivery date

: the tenor of a swap

: the expiration date of the option

: the maturity of the underlying bond

: a reset date

: the reset period

: time to maturity

: an infinitesimal time interval

: -th key rate duration

: knot point