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
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- 018A spice exporter receives USD 4 million and EUR 1.5 million in each of the next three quarters and calls after a sharp rupee fall. Build a 75%, 50%, 25% layered hedge with the given forwards, show the rupees locked, and say what you would and would not say about the rupee.FX derivativesSell-side sales and trading
- 097A power company borrows USD 100 million for five years at a floating dollar rate plus 1.8% and swaps it into a rupee fixed rate of 8.9%, with principal exchanged at 83.00. Lay out the cash flows, and compare the rupee cost of repaying principal unhedged if the rupee falls to 95.FX derivativesCorporate treasury
Company names and figures are illustrative.