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. 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
  2. 100A mid-market company borrows Rs 200 crore for three years at a floating benchmark plus 2%. Its bank offers a swap to pay fixed 7.1% and receive the benchmark. What is the all-in fixed cost, what are the yearly cash flows if the benchmark is 6.5% or 8%, and what does the company give up?Interest rate derivativesWarm upDeutsche BankNew York · 2024

Company names and figures are illustrative.