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. 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
  2. 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.