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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
74 Derivatives and Risk Management
P R O B L E M S
1. On January 2, a bank sells a 2 × 5 FRA.  e contracted forward
rate is 5.34%.  e principal amount is INR 1 million. On the
settlement date, the spot MIBOR rates are:
Maturity Rate
1 month 4.85%
2 months 4.92%
3 months 4.95%
4 months 5.01%
5 months 5.04%
6 months 5.08%
e reference rate for the loan in the market is MIBOR +
50 basis points.
What amount would the bank pay or receive on the
settlement date?
2. An Indian gold merchant enters into a contract to buy 200
ounces of gold from an Australian gold mining company at a
price of USD 910 per ounce, and the ...
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Publisher Resources

ISBN: 9781299447547Publisher Website