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BFC2140 Formula Sheet

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Huyen Ly
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12 views2 pages

BFC2140 Formula Sheet

Uploaded by

Huyen Ly
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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Formula Sheet

Financial Mathematics Capital Budgeting


𝐹𝑉𝑛 = 𝑃𝑉 × (1 + 𝑟)𝑛 𝑁𝐶𝐹1 𝑁𝐶𝐹2
𝑁𝑃𝑉 = 𝑁𝐶𝐹0 + + +⋯
(1 + 𝑟) (1 + 𝑟)2
𝐹𝑉𝑛 𝑁𝐶𝐹𝑛
𝑃𝑉 = +
(1 + 𝑟)𝑛 (1 + 𝑟)𝑛

𝐶 1
𝑃𝑉 𝑜𝑓 𝑎𝑛 𝑎𝑛𝑛𝑢𝑖𝑡𝑦 = (1 − ) 𝑁𝐶𝐹𝑡
𝑟 (1 + 𝑟)𝑛 ∑ =0
(1 + 𝐼𝑅𝑅)𝑡
𝑃𝑉 𝑜𝑓 𝑎𝑛 𝑎𝑛𝑛𝑢𝑖𝑡𝑦 𝑑𝑢𝑒
𝐶 1
= (1 − ) × (1 + 𝑟) 𝑁𝑃𝑉
𝑟 (1 + 𝑟)𝑛 𝑃𝐼 =
𝑅𝑒𝑠𝑜𝑢𝑟𝑐𝑒 𝑐𝑜𝑛𝑠𝑢𝑚𝑒𝑑
𝐶
𝐹𝑉 𝑜𝑓 𝑎𝑛 𝑎𝑛𝑛𝑢𝑖𝑡𝑦 = ((1 + 𝑟)𝑛 − 1) (1 + 𝑟)𝑛
𝑟 𝑁𝑃𝑉∞ = 𝑁𝑃𝑉0
(1 + 𝑟)𝑛 − 1
𝐹𝑉 𝑜𝑓 𝑎𝑛 𝑎𝑛𝑛𝑢𝑖𝑡𝑦 𝑑𝑢𝑒
𝐶 𝑁𝑃𝑉 × 𝑟
= ((1 + 𝑟)𝑛 − 1) × (1 + 𝑟) 𝐸𝐴𝑉 =
1
𝑟 (1 − )
(1 + 𝑟)𝑛
𝐶
𝑃𝑉 𝑜𝑓 𝑎 𝑝𝑒𝑟𝑝𝑒𝑡𝑢𝑖𝑡𝑦 =
𝑟 1 + 𝑅𝑒𝑎𝑙 𝐼𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝑅𝑎𝑡𝑒
𝐶 1 + 𝑁𝑜𝑚𝑖𝑛𝑎𝑙 𝐼𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝑅𝑎𝑡𝑒
𝑃𝑉 𝑜𝑓 𝑔𝑟𝑜𝑤𝑖𝑛𝑔 𝑝𝑒𝑟𝑝𝑒𝑡𝑢𝑖𝑡𝑦 = =
𝑟−𝑔 1 + 𝑖𝑛𝑓𝑙𝑎𝑡𝑖𝑜𝑛 𝑟𝑎𝑡𝑒

𝑃𝑉 𝑜𝑓 𝑔𝑟𝑜𝑤𝑖𝑛𝑔 𝑎𝑛𝑛𝑢𝑖𝑡𝑦 𝐹𝐶𝐹 = (𝑅𝑒𝑣 − 𝐶𝑜𝑠𝑡𝑠 − 𝐷𝑒𝑝) × (1 − 𝑡𝑐 )


𝐶 1+𝑔 𝑛 + 𝐷𝑒𝑝 − 𝐶𝑎𝑝𝐸𝑥
= (1 − ( ) ) − 𝐶ℎ𝑎𝑛𝑔𝑒 𝑖𝑛 𝑁𝑊𝐶
𝑟−𝑔 1+𝑟

𝐴𝑓𝑡𝑒𝑟– 𝑡𝑎𝑥 𝑠𝑎𝑙𝑣𝑎𝑔𝑒 = 𝑆𝑉 − (𝑆𝑉 − 𝐵𝑉)𝑡𝑐


𝐴𝑃𝑅 𝑚
𝐸𝐴𝑅 = (1 + ) −1
𝑚
Working Capital
𝜆 = 𝐴1 /(𝐴1 – 𝐴2 ) Inventory
Inventory Days = Average daily COGs
𝐼𝑛𝑡𝑒𝑟𝑝𝑜𝑙𝑎𝑡𝑒𝑑 𝑟 = 𝑟1 + (𝑟2 − 𝑟1 )
Accounts receivable
A/R Days =
Average daily sales
Valuation of Bonds and Shares
𝐶 1 𝐹𝑉𝑛 Accounts Payable
𝑃𝐵𝑜𝑛𝑑 = (1 − ) + A/P Days = Average daily COGs
𝑖 (1 + 𝑖)𝑛 (1 + 𝑖)𝑛
𝐹𝑉𝑛 CCC = Inventory Days + A/R Days – A/P Days
𝑃𝐵𝑜𝑛𝑑 =
(1 + 𝑖)𝑛
𝐷1
𝑃0 =
𝑟𝐸
𝐷1
𝑃0 =
𝑟𝐸 − 𝑔
𝐷1 𝐷2 𝐷𝑛 + 𝑃𝑛
𝑃0 = + 2
+ ⋯+
(1 + 𝑟𝐸 ) (1 + 𝑟𝐸 ) (1 + 𝑟𝐸 )𝑛

Page 1 of 2
Formula Sheet (Cont’d)
Risk and Return Cost of Capital
𝑛
𝐷𝐼𝑉𝑝
𝐸(𝑅𝑖 ) = ∑(𝑅𝑖𝑘 × 𝑃𝑘 ) 𝑅𝑝 =
𝑃𝑃
𝑘=1
𝑛
𝐸 𝑃 𝐷
𝜎𝑖2 = ∑{[𝑅𝑖𝑘 − 𝐸(𝑅𝑖 )]2 × 𝑃𝑘 } 𝑟𝑊𝐴𝐶𝐶 = 𝑟𝑒 + 𝑟𝑝 + 𝑟𝑑 (1 − 𝑇𝑐 )
𝑉 𝑉 𝑉
𝑘=1
𝑉 =𝐸+𝑃+𝐷
𝐷𝐼𝑉𝑡+1 + 𝑃𝑡+1 − 𝑃𝑡
𝑅𝑡+1 = Capital Structure – No Tax World
𝑃𝑡
𝐸+𝐷 =𝑈 =𝐴
1
𝑅̅ = (𝑅1 + 𝑅2 + ⋯ 𝑅𝑇 ) 𝐸 𝐷
𝑇 𝑟𝑈 = 𝑟𝐸 + 𝑟𝐷
𝐸+𝐷 𝐸+𝐷
1 𝐷
𝑉𝑎𝑟(𝑅) = ((𝑅1 − 𝑅̅ )2 + (𝑅2 − 𝑅̅ )2 𝑟𝐸 = 𝑟𝑈 + (𝑟𝑈 − 𝑟𝐷 )
𝑇−1 𝐸
+ ⋯ + (𝑅𝑇 − 𝑅̅ )2 ) 𝑟𝑈 = 𝑟𝐴
𝑁

𝐶𝑜𝑣(𝑅𝑖 , 𝑅𝑗 ) = ∑(𝑅𝑖,𝑛 − 𝐸(𝑅𝑖 )) × (𝑅𝑗,𝑛 Capital Structure –Tax World


𝑛=1 𝑉 𝐿 = 𝑉 𝑈 + 𝑃𝑉(𝐼𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝑡𝑎𝑥 𝑠ℎ𝑖𝑒𝑙𝑑)
− 𝐸(𝑅𝑗 )) × 𝑃𝑛
𝑁
1 𝐼𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝑡𝑎𝑥 𝑠ℎ𝑖𝑒𝑙𝑑 = 𝐼𝑛𝑡𝑒𝑟𝑒𝑠𝑡 × 𝑇𝑐
𝐶𝑜𝑣(𝑅𝑖 , 𝑅𝑗 ) = ∑(𝑅𝑖,𝑛 − 𝑅𝑖 ) × (𝑅𝑗,𝑛
𝑁−1
𝑛=1
− 𝑅𝑗 )
𝑃𝑉(𝐼𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝑡𝑎𝑥 𝑠ℎ𝑖𝑒𝑙𝑑 𝑜𝑓 𝑃𝑒𝑟𝑚𝑎𝑛𝑒𝑛𝑡 𝐷𝑒𝑏𝑡)
𝐶𝑜𝑣(𝑅𝑖, 𝑅𝑗 ) = 𝑇𝑐 × 𝐷
𝜌𝑖𝑗 = 𝐶𝑜𝑟𝑟(𝑅𝑖, 𝑅𝑗 ) =
𝜎𝑖 × 𝜎𝑗
𝜎𝑅𝑖 𝐷
𝐶𝑉 = 𝑟𝐸 = 𝑟𝑈 + (𝑟 − 𝑟𝐷 )(1 − 𝑇𝑐 )
𝐸[𝑅𝑖 ] 𝐸 𝑈
𝐸[𝑅𝑝 ] = 𝑤1 𝐸[𝑅1 ] + 𝑤2 𝐸[𝑅2 ] + ⋯
+ 𝑤𝑛 𝐸[𝑅𝑛 ] 𝐸 𝐷
𝑟𝑊𝐴𝐶𝐶 = 𝑟𝐸 + 𝑟𝐷 (1 − 𝑇𝑐 )
𝜎𝑝2 = 𝑤𝑖2 𝜎𝑖2 + 𝑤𝑗2 𝜎𝑗2 +2 𝑤𝑖 𝑤𝑗 𝜌𝑖𝑗 𝜎𝑖 𝜎𝑗 𝐸+𝐷 𝐸+𝐷

𝐸[𝑅𝑃 ] − 𝑟𝑓
𝑆ℎ𝑎𝑟𝑝𝑒 𝑅𝑎𝑡𝑖𝑜 =
𝜎𝑃
𝐶𝑜𝑣(𝑅𝑖, 𝑅𝑀 )
𝛽𝑖 =
𝜎𝑀 2
𝐸[𝑅𝑖 ] = 𝑟𝑓 + 𝛽𝑖 (𝐸[𝑅𝑀 ] − 𝑟𝑓 )
𝛽𝑝 = 𝑤1 𝛽1 + 𝑤2 𝛽2 + ⋯ 𝑤𝑛 𝛽𝑛

Page 2 of 2

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