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
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  1. 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

Company names and figures are illustrative.