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 81–88 of 88 · filtered from 100Clear filters
  1. 091A Rs 300 crore portfolio has a beta of 0.9 to the broad index and 0.5 to the bank index in a two-factor regression. Hedge both factors with index futures, and show why hedging only with the broad index leaves a bank bet.Hedging with futuresHardHedge fundsEquity derivatives
  2. 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
  3. 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
  4. 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
  5. 095A three-year autocallable on the index pays principal plus 9% per year elapsed if the index is at or above its start on a yearly observation. If never called, principal comes back unless the index ends below 60% of its start, when the loss is one for one. Work three paths and say what the investor is short.Structured products and client solutionsHardStructured productsExotics trading
  6. 096A fund is short a bond future settling at 98.00 and must choose what to deliver: bond A at 101.20 with conversion factor 1.0300, B at 96.50 with 0.9850, C at 104.80 with 1.0700. Which is cheapest to deliver, and how could that change if yields rise sharply?Forwards, futures and arbitrageHardRates derivativesAsset management
  7. 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.Currency derivatives and corporate FX hedgingHardFX derivativesCorporate treasury
  8. 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.