formula-sheet
CFA Level I Derivatives Formula Sheet
Public formula sheet for forwards, futures, options, put-call parity, and Black-Scholes inputs.
TL;DR
Derivatives formulas focus on no-arbitrage pricing, payoff diagrams, forward value, and option parity.
Formula Reference
Forward price
F0(T) = S0 x (1 + r)^TSimple annual compounding version when no income or costs exist.
Forward value
V_t = S_t - F0(T) / (1 + r)^(T - t)Value to the long after initiation.
Put-call parity
c + X / (1 + r)^T = p + SEuropean options on non-dividend-paying stock.
Call payoff
max(0, S_T - X)Payoff before subtracting premium.
BA II Plus Keystrokes
- Use TVM for present value of exercise price.
- Use basic arithmetic for payoffs.
- Use LN and e^x for Black-Scholes components if needed.
Worked Example
- Stock is 50, exercise price PV is 46, put is 3.
- c = p + S - PV(X) = 3 + 50 - 46 = 7.
Common Mistakes
- Confusing payoff with profit.
- Using American option logic in a European put-call parity question.
- Forgetting storage costs or benefits in forward pricing when provided.
Related Guides
- Black-Scholes on BA II Plus - How to structure Black-Scholes option inputs and what the BA II Plus can and cannot do directly.
- Time Value of Money Calculations on the BA II Plus - CFA Level I TVM reference for present value, future value, annuities, perpetuities, and BA II Plus inputs.
- CFA Level I Fixed Income Formula Sheet - Public formula sheet for bond pricing, yield, duration, convexity, spot rates, and forward rates.