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Derivatives and Risk Management, 1st Edition
book

Derivatives and Risk Management, 1st Edition

by Sundaram Janakiramanan
May 2024
Intermediate to advanced content levelIntermediate to advanced
542 pages
27h 26m
English
Pearson India
Content preview from Derivatives and Risk Management, 1st Edition
Interest Rate Futures 181
In one month, assume that the rate increases to 8% and the futures price is INR 93.21.
Gain from futures = (100 – 93.21) × 25 × 2,000 = INR 339,500
Loss on home loan = (60,663 – 58,054) × 120 months = INR 313,080
Net gain = INR 339,500 – INR 313,080 = INR 26,420
is shows that Rita has converted the oating-rate loan into a xed-rate loan.
E X A M P L E 8 . 1 0
Kumar has taken a home loan from a bank on a xed-rate basis. e bank is charging 10%, and the
amount of loan is INR 5,000,000 for a period of 10 years with expected monthly payment of INR 66,075.
Kumar is concerned that the interest rate may decrease and he ...
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Publisher Resources

ISBN: 9781299447547Publisher Website