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Formula Sheet - Quantitative Finance

This document provides formulas for quantitative finance concepts including: 1) Interest accumulation, simple interest, compound interest, simple discount, nominal and effective interest rates, and continuous compounding. 2) Present and future value formulas for unit payment annuities, perpetuities, variable payment annuities, increasing/decreasing arithmetic progressions, and geometric progressions. 3) Formulas for leasing including the relationships between asset cost, down payment, lease payments, residual value, and interest.

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Inês Soares
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860 views1 page

Formula Sheet - Quantitative Finance

This document provides formulas for quantitative finance concepts including: 1) Interest accumulation, simple interest, compound interest, simple discount, nominal and effective interest rates, and continuous compounding. 2) Present and future value formulas for unit payment annuities, perpetuities, variable payment annuities, increasing/decreasing arithmetic progressions, and geometric progressions. 3) Formulas for leasing including the relationships between asset cost, down payment, lease payments, residual value, and interest.

Uploaded by

Inês Soares
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Quantitative Finance Formulae Unit Annuity due

I: Interest, P : Principal, i: i nterest rate, t: time


P V : än i = 1 + an−1 i = an (1 + i)
Interest accumulation: F V = P V + I
Simple interest: F V = P V (1 + i t) F V : s̈n i = sn (1 + i)
t
Compound Interest: F V = P V (1 + i)
Deferred Annuity
Simple discount: D = F V × d × t
Compound Interest PV : k| an = an (1 + i)−k
(m)
Nominal annual rate compounded m times/year: iA
FV : k| sn = sn
Effective rates conversion, time unit: year (A, An-
1
num) subdivided into m and n periods: Perpetuity Annuity, P V : a∞ i = i , ä∞ i = 1+ 1i
Variable Payment Annuities
m n
1 + iA/m = 1 + iA/n Increasing arithmetic progression annuity:

Annual Nominal Rate & Effective Rate versus (C − h)an i + h (Ia)n i


Equivalent Annual Rate
än i − n(1 + i)−n
!m (Ia)n i =
(m)
iA i
(1 + iA ) = 1+
m Decreasing arithmetic progression annuity:
! n−an i
1/m i
(m) (D − h)an i + h (Da)n i ; (Da)n i = i
(1 + iA ) = 1+ A
m Geometric progression annuity:
h i
(m) 1/m P : 1st Payment; i: Interest Rate; g: Growth Rate
iA = m (1 + iA ) −1
  n 
1 − 1+g
1+i
P 
i−g
Continuous compounding
Nominal rate, Force of Interest: Leasing
AC: Asset Cost; R : Lease Periodic Payment; DP :
δ = ln(1 + iA ) ⇔ eδ = 1 + iA Down Payment; RV : Residual Value:

F V : S = P eδt ; P V : P = S e−δt AC = DP + R an i + RV (1 + i)−n


Annuities, Unit Payment Annuity
Unit Annuity immediate R = R∗ + I

I = RV × i
1 − (1 + i)−n
P V : an i =
i PV = AC − DP = R∗ an i
(1 + i)n − 1
F V : sn i = = an (1 + 1)n R∗ : Payment on Loss; I: Interest on Residual.
i

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