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 1–7 of 7 · filtered from 100Clear filters
  1. 005A Rs 500 crore equity fund with a beta of 1.15 wants its beta at 0.6 through a results month using index futures at 22,000 with a 50 unit contract. How many contracts, which side, and what is the fund still exposed to?Hedging with futuresCoreAsset managementEquity derivatives
  2. 007A beverage maker expects to buy 10,000 tonnes of sugar but could need 7,000 to 12,000 depending on the weather. Compare hedging 10,000 tonnes against 8,000 in a hot summer and a cool one.Hedging with futuresHardCorporate treasuryCommodities trading
  3. 017A sugar mill sells futures at Rs 38,000 a tonne to hedge a sale in four months. At delivery spot is Rs 35,500 and the future Rs 36,300. What price does it effectively get, and what if the basis had widened to minus Rs 1,500 with the future unchanged?Hedging with futuresWarm upCommodities tradingCorporate treasury
  4. 054A fund receives Rs 200 crore at 3 pm that it cannot invest in stocks before the close. How does it equitise with index futures at 22,000, lot 50, and what does it save if the index rises 1.5% overnight?Hedging with futuresWarm upAsset managementIndian derivatives desks
  5. 060An Indian wire maker will buy 500 tonnes of copper in three months, priced in dollars. It hedges copper at USD 9,000 and dollars at 83.80. At delivery copper is 9,600 and USD/INR 85.10. Work the rupee cost hedged and unhedged, and split the difference.Hedging with futuresCoreCommodities tradingFX derivatives
  6. 084A pension trust holds Rs 1,000 crore of government bonds with modified duration 7.2 and wants duration 4.0 for three months. A bond future has a DV01 of Rs 1,850. How many contracts, which side, and what risk remains?Hedging with futuresCoreRates derivativesAsset management
  7. 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

Company names and figures are illustrative.