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