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Treasury and Capital Markets 

Formulae List 

FV = PV*(1+r/m)^(m*t)

Market capitalization = Market Price * Number of Outstanding Shares

Market Capitalization (using free float) = Market Price * Number of Outstanding Shares * Free Float

Factor

Earnings Per Share (EPS) = Profit After Tax (PAT)/Total no. of Equity Shares (Issued)

Price to Earnings Ratio (P/E Ratio) = Market Price of the Share/Earnings per Share (EPS)

Dividend Yield (%) = [Dividend per Share/ Market Price of Share]*100

Volatility (%) = [(Highest Price of Share – Lowest Price)/ Market Price of 

Share]*100

Book Value of Share = (Equity Share Capital + Reserves) /Total no. of Equity Shares

(Issued)

Beta (ß) = Covariance (Index, Stock)/Variance (Index)

Returns = (Value today - Value of the previous day)/Value of theprevious day

Maintenance margin = (Value of your money (equity) / Market value of investment)

VaR Margin (Group I) = 3.5 times volatility or 7.5% of the value of the transaction.

VaR Margin (Group II) =3.5 times volatility or 3 times the VaR of the index*√3

VaR Margin (Group III) = 5 times the VaR of the index*√3

Extreme loss margin (Stock) = 1.5 times the standard deviation of daily returns of the stock

price in the last six months or 5% of the value of the position.

Trading Position = Total Purchases-Total Sales

Current Yield (Annual Coupon Amount / Market Price)*100

Annualized Coupon [1+r/m]n - 1

Actual/Actual The number of days between two interest dates

/[(The actual number of days in the current interest period) *(

The number of coupons paid in a year)]

Bond Price Bond Price = ∑ C / (1 + r /m )^m*t

C=Coupon

r=YTM

m=Number of times compounding

happens in a year t=Time period in years

Dirty Price Clean Price + Accrued Interest(undiscounted)

Zero Coupon Bond Pricing Face Value (FV)/[1 + (YTM*Time period in years)]

Security Position Settled purchase or open purchase: –ve sign (+ve balance in

RBI’s books) Open sale: +ve sign (- ve balance in

RBI’s books)

Trading Position Long trading position: +ve sign

Short trading position:  –ve sign

Macaulay Duration Σ (PVCF/TPVCF)*T

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Treasury and Capital Markets 

Modified duration [Macaulay Duration]/[1 + (YTM/k)]

k = is the number of interest periods in a year

Convexity Adjustment (Convexity measurement/2 )*(Δy)2 * 100 Where Δy is the

change in yield.

Convexity Measure Σ(PVCF/Bond price)*(T^2)

Forward FX Rate F = S * (1+Rq* Tq)/(1+Rb * Tb)Pre-Settlement Risk (PSR) Current Mark to Market (CMTM) + Maximum Likely Increase in

Value (MLIV)

MLIV Daily Factor Sensitivity × √(Contract Tenor) × Amount 

Swap Difference [Spot rate*Interest rate differential/100]*[No.ofmonths

forward /12 Months]

Extreme Loss Margin (Currency Futures  – 

USDINR)

= 1% of the MTM value of the open positions.

EWMA formula σn2 = λ σn-1

2 + (1- λ) un-12 

σ  – Volatility

u – Data of Returnsn – Date