Derivatives Foundation case studies, worked step by step

Cases
100
Traced to a firm
12
Topics
12
Hard
29
Topic
All topicsMargin, clearing and risk limits8Market making and trading scenarios8Option pricing and arbitrage checks8Option strategies and trade ideas10Hedging with futures8Forwards, futures and arbitrage8Volatility trading8Interest rate derivatives9Structured products and client solutions7Currency derivatives and corporate FX hedging9Credit derivatives and counterparty risk7Greeks and managing an options book10
Level
AnyWarm upCoreHard
Source
AnyReported at a firmStandard
Showing 1–10 of 19 · filtered from 100Clear filters
  1. 001A client buys 10 lots of index futures at 22,000 and the daily settlement price moves for five days. Walk through each day's variation margin and the running total.Margin, clearing and risk limitsWarm upClearing and riskIndian broking
  2. 008A client wants a price for the three-month 21,500 index put but only the 21,500 call is quoted, at 1,050. The index is 22,000, the rate 6.8% and the dividend yield 1.2%. Price the put.Option pricing and arbitrage checksWarm upWealth managementEquity derivatives
  3. 015A fund bought Rs 25 crore of CDS protection at 200 bp running. The reference company defaults 40 days after the last coupon date and the auction sets recovery at 35%. What does the seller pay, and what accrued premium does the buyer owe?Credit derivatives and counterparty riskWarm upCredit tradingDerivatives operations
  4. 017A sugar mill sells futures at Rs 38,000 a tonne to hedge a sale in four months. At delivery spot is Rs 35,500 and the future Rs 36,300. What price does it effectively get, and what if the basis had widened to minus Rs 1,500 with the future unchanged?Hedging with futuresWarm upCommodities tradingCorporate treasury
  5. 036Belvora Textiles will receive USD 5 million in three months. Spot is 83.20 and the three-month forward 83.85. What does selling the dollars forward lock in, and how does it compare with staying open if the rupee ends at 81.00 or 85.00?Currency derivatives and corporate FX hedgingWarm upFX derivativesCorporate treasury
  6. 037Six months ago a fund agreed to buy 10,000 shares of Kabini Cables at Rs 520 in one year. The stock is now Rs 560, six months remain and the rate is 7% continuous. What is the forward worth today, and to whom?Forwards, futures and arbitrageWarm upEquity derivativesDerivatives operations
  7. 039Purna Finance bought a 3x6 FRA at 7.00% on Rs 50 crore. At fixing the three-month rate is 7.60%. How much is settled, when, and who pays whom?Interest rate derivativesWarm upRates derivativesCorporate treasury
  8. 045Tadoba Tractors is at Rs 500. A client sells the one-month 480 put at 15 and buys the 450 put at 6. What are the maximum profit, maximum loss and breakeven, and how does the position compare with owning the stock?Option strategies and trade ideasWarm upEquity derivativesIndian broking
  9. 050Saramati Cement trades at Rs 800 and its three-month futures at Rs 820, lot size 500. The rate is 7% continuous and no dividend is due. What is fair value, are the futures rich or cheap, and what does the cash-and-carry lock in per lot?Forwards, futures and arbitrageWarm upEquity derivativesIndian derivatives desks
  10. 054A fund receives Rs 200 crore at 3 pm that it cannot invest in stocks before the close. How does it equitise with index futures at 22,000, lot 50, and what does it save if the index rises 1.5% overnight?Hedging with futuresWarm upAsset managementIndian derivatives desks

Company names and figures are illustrative.