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. 011A client signs a one-year accumulator: buy 1,000 shares a day at Rs 900 on a Rs 1,000 stock, the deal ends if it closes above 1,050, and the client buys 2,000 a day below 900. Work three price paths.Structured products and client solutionsHardStructured productsPrivate banking
  2. 032A client is offered a one-year Rs 10 lakh note on Garudmachi Pharma at Rs 800 paying a 12% coupon, with principal returned in shares at Rs 800 if the stock finishes below that. What is the client really holding, and what does it get at 900, 760 and 560?Structured products and client solutionsCoreStructured productsWealth management
  3. 056A one-year note pays twice the stock's rise up to 15%, so at most 30%, and loses one for one if the stock falls. Tabulate it against owning the stock for moves of minus 20%, 0, plus 10%, plus 15% and plus 40%.Structured products and client solutionsWarm upStructured productsWealth management
  4. 057A client places USD 1 million for one month in a dual currency deposit paying 7% instead of 4.5%, spot 84.00, and the bank may repay in rupees at 84.50. Decompose it, price the extra yield, and show the client's position at 83.00 and 86.00.Structured products and client solutionsHardStructured productsPrivate banking
  5. 082A six-month range accrual on USD/INR pays 8% a year for each day the fix is between 82.00 and 85.00. Ninety of 125 fixing days fall inside. What is the coupon, and what is the client short?Structured products and client solutionsCoreStructured productsFX derivatives
  6. 086An adviser compares a three-year note paying 100% of the index's price rise, with no protection, against a plain index fund. The index yields 1.3% a year in dividends. What does the note holder give up, and how do you explain it to the client?Structured products and client solutionsWarm upWealth managementStructured products
  7. 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

Company names and figures are illustrative.