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
Showing 1–5 of 5 · filtered from 100Clear filters
- 010A company pays fixed 7.5% semi-annually on a Rs 100 crore swap with two years left. Given the four discount factors, find today's par swap rate and the swap's value to the company.Rates derivativesDerivatives operations
- 016Build a DV01-neutral two-year versus ten-year swap steepener with Rs 100 crore of ten-year, given DV01s of Rs 190 and Rs 700 per crore. Size the two-year leg and find the P&L if two-year rates fall 20 bp and ten-year rates rise 5 bp.Rates derivativesMacro trading
- 058A company with a Rs 300 crore floating loan at benchmark plus 1.5% buys a three-year 8% cap for 0.9% upfront. What does it pay each year if the benchmark runs at 7%, 9% or 10%?Corporate treasuryRates derivatives
- 065A bank receives fixed 6.60% on a one-week overnight index swap on Rs 500 crore. Overnight fixings are 6.50%, 6.52%, 6.55%, 6.60% and 6.58%, the last applying to Friday, Saturday and Sunday. Compound the floating leg and compute the net settlement.Rates derivativesDerivatives operations
- 072A bank's bond portfolio has DV01 of Rs 12 lakh, concentrated in ten-year bonds. It hedges with five-year payer swaps with DV01 of Rs 4,300 per Rs 1 crore notional. Size the hedge, then work the P&L if two-year yields fall 10 bp, five-year yields fall 3 bp and ten-year yields rise 5 bp.Rates derivativesRisk management
Company names and figures are illustrative.