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 1–2 of 2 · filtered from 100Clear filters
  1. 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
  2. 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

Company names and figures are illustrative.