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 1–9 of 9 · filtered from 100Clear filters
  1. 010A company pays fixed 7.5% semi-annually on a Rs 100 crore swap with two years left. Given the four discount factors, find today's par swap rate and the swap's value to the company.Interest rate derivativesCoreRates derivativesDerivatives operations
  2. 016Build a DV01-neutral two-year versus ten-year swap steepener with Rs 100 crore of ten-year, given DV01s of Rs 190 and Rs 700 per crore. Size the two-year leg and find the P&L if two-year rates fall 20 bp and ten-year rates rise 5 bp.Interest rate derivativesCoreRates derivativesMacro trading
  3. 027A pension fund expects a 50 bp cut when the market prices 20 bp. Receive the two-year swap, buy a receiver swaption, or do nothing: how does each choice fare if the cut is 50 bp, 25 bp or zero?Interest rate derivativesHardRates derivativesMacro trading
  4. 038Tikona Credit Fund buys a five-year 9.2% bond of Mahuli Infra at 101 and swaps it to floating with a par asset swap. The five-year swap rate is 7.0% and the annuity factor 4.1. What is the asset swap spread, and what is the fund still exposed to?Interest rate derivativesHardCredit tradingRates derivatives
  5. 039Purna Finance bought a 3x6 FRA at 7.00% on Rs 50 crore. At fixing the three-month rate is 7.60%. How much is settled, when, and who pays whom?Interest rate derivativesWarm upRates derivativesCorporate treasury
  6. 058A company with a Rs 300 crore floating loan at benchmark plus 1.5% buys a three-year 8% cap for 0.9% upfront. What does it pay each year if the benchmark runs at 7%, 9% or 10%?Interest rate derivativesCoreCorporate treasuryRates derivatives
  7. 065A bank receives fixed 6.60% on a one-week overnight index swap on Rs 500 crore. Overnight fixings are 6.50%, 6.52%, 6.55%, 6.60% and 6.58%, the last applying to Friday, Saturday and Sunday. Compound the floating leg and compute the net settlement.Interest rate derivativesCoreRates derivativesDerivatives operations
  8. 072A bank's bond portfolio has DV01 of Rs 12 lakh, concentrated in ten-year bonds. It hedges with five-year payer swaps with DV01 of Rs 4,300 per Rs 1 crore notional. Size the hedge, then work the P&L if two-year yields fall 10 bp, five-year yields fall 3 bp and ten-year yields rise 5 bp.Interest rate derivativesCoreRates derivativesRisk management
  9. 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.