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. 032A client is offered a one-year Rs 10 lakh note on Garudmachi Pharma at Rs 800 paying a 12% coupon, with principal returned in shares at Rs 800 if the stock finishes below that. What is the client really holding, and what does it get at 900, 760 and 560?Structured products and client solutionsCoreStructured productsWealth management
  2. 082A six-month range accrual on USD/INR pays 8% a year for each day the fix is between 82.00 and 85.00. Ninety of 125 fixing days fall inside. What is the coupon, and what is the client short?Structured products and client solutionsCoreStructured productsFX derivatives

Company names and figures are illustrative.