Financial Math FM/Glossary

Notation and terminology See here for notation and terminology used on the FM exam. Glossary and index of terms Accumulation function Accumulation of discount American option Amortization Annuity-due Annuity-immediate Arbitrage Arithmetic increasing/decreasing payment annuity Ask price At-the-money Bermudan option Bid price Bid-ask spread Book value Call option Callable Cash-flow matching Collars (including zero-cost collars) Compound interest Convertible bond Convertible m-thly Convexity Cost of carry Coupon Coupon rate Covered call Credit risk Current value Deferred swap Derivative Discount factor Discount rate (rate of discount) Diversifiable risk Dividends Dollar-weighted rate of return Duration (Macaulay modified and effective) Effective rate Equation of value European option Expiration Expiration date Face value Final payment Force of interest Forward contract Forward rate Fully leveraged purchase Future value Futures contract Geometric increasing/decreasing payment annuity Hedging Immunization Implied repo rate In-the-money Inflation and real rate of interest Interest Interest rate (rate of interest) Interest rate swap Lease rate Level payment annuity Long position Maintenance margin Mandatorily convertible bond Margin Margin call Marking-to-market Naked writing Net profit/payoff Nominal rate Nondiversifiable risk Notional Amount Out-of-the-money Outright purchase Outstanding balance Over-the-counter market Par Value Payable continuously Payable m-thly Paylater strategy Perpetuity Portfolio and investment year allocation methods Prepaid forward contract Prepaid swap Present value/net present value Price Principal Put option Put-call parity Redemption value Redington immunization Short position Short selling Simple commodity swap Simple interest Sinking fund Spot price Spot rate Spreads Stock index Stock price Straddles (including strangles written straddles and butterfly spreads) Strike price/Exercise price Swap Swap spread Swap term Synthetic forwards Term of annuity Term of bond Term of loan Time-weighted rate of return Underlying asset Yield curve Yield rate Yield rate balloon payment bear box bull drop payment full immunization future value non-callable present value rate of return ratio spreads stock dividend