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 11–12 of 12 · filtered from 100Clear filters
  1. 099In a group mock trading game, a contract settles at a company's September scooter sales in thousands. Your opening estimate is 80, range 70 to 90. Clues arrive: registrations running 8% above last year, then a three-day factory shutdown costing about 9,000 units. Set the market, update it after each clue, and manage a 50-lot limit.Market making and trading scenariosCoreDRWNew York · 2026Belvedere TradingChicago · 2022
  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.