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 41–47 of 47 · filtered from 100Clear filters
  1. 085An importer with large dollar debts sold your bank USD 50 million one year forward at 84. The rupee falls to 92. What does the client owe, why is that exposure likely to go bad at exactly that moment, and how do you protect the bank?Credit derivatives and counterparty riskCoreRisk managementFX derivatives
  2. 088A client buys Rs 25 crore notional of three-month 105% calls on a stock at 400. Mid volatility is 28% and the desk charges 1.5 points. Price the charge, set up the hedge, and work the P&L if realised volatility turns out to be 32%.Market making and trading scenariosCoreSell-side sales and tradingEquity derivatives
  3. 090A fund holds 1,000 lots of six-month at-the-money calls on a stock at 500 when the company announces a surprise special dividend of Rs 25, payable in two months. With delta 0.55, estimate the loss, and explain why put holders gain.Greeks and managing an options bookCoreEquity derivativesHedge funds
  4. 092A family office expects the bank index, at 48,000, to stay between 47,000 and 49,000 for two weeks. Compare selling the 46,500 put and 49,500 call for 180 points with adding 46,000 and 50,000 wings for a net 120, at 45,000, 48,000 and 51,500.Option strategies and trade ideasCoreWealth managementIndian derivatives desks
  5. 093A collateral agreement has a threshold of Rs 5 crore, a minimum transfer of Rs 50 lakh and rounding to Rs 10 lakh. The amount owed to the bank over five days is Rs 3.2, 5.8, 6.1, 9.4 and 7.0 crore. What collateral is called or returned each day?Margin, clearing and risk limitsCoreDerivatives operationsClearing and risk
  6. 094A fund is long an at-the-money straddle position with gamma of 1,500 shares per rupee and theta of Rs 45,000 a day, rehedged at each close. Closes run 800, 812, 805, 790, 798, 801. Estimate each day's P&L and the week's.Greeks and managing an options bookCoreVolatility tradingEquity derivatives
  7. 098A stock is at Rs 250. Price a six-month 260 call by Black-Scholes with 30% volatility and a 6% rate: compute d1, d2, the two probabilities and the call, then the put by parity.Option pricing and arbitrage checksCore

Company names and figures are illustrative.