Recent content by joanne_peacemaker

Hi, Thanks for the replies. TWI - Indeed, I intend to choose one of the ATM options. From the table above, that leaves me with the last four options. What would be the best way to choose one of these, i.e. what sort of criteria should I use in my evaluation? In terms of Volatility and Delta...

Hi, Thanks for the advice. I am sorry, I should have mentioned that I will have an underlying cash market position. I am using PUT options as the firm will need a loan of £10 Million in 6 months time. So lets say the above rates are for 1st Oct 07, and the loan will be taken on 1st April' 08...

Hi, This is in regard to an assignment question. The firm wants to buy options to protect themselves against a rise in Interest rates. Option strategy is Purchase 200 PUT Options with Strike Price ____ Now I have shortlisted the following position that I can take, and I have to choose one...

Hi, Hopefully someone has read the case  ...As I am quite confused with the wording in the case. Starting with the FRA strategy, my assumption is that the strategy should be .................. FRA Strategy: On 1st Oct07 Borrow £60m for 12 months at 6.15375% Invest £60m for 6 months at...

NB: If you want the case, pls let me know and I will post the link..

Hi Grant, Rhody, Sneo, Thanks very much for such a great response. I have uploaded the case study on my server and PM'ed you a link, as I did not want to put the case study here, word to word. My understanding of the question is this: ...................... I need to set-up my hedge from...

Hi Grant, Cash Market position = short term borrowings of £100m at LIBOR+3% * The reason I mentioned "one on one" discussion was because, the answer is likely to be influenced by many external factors mentioned in the case, which may need some discussion. Thanks for your help Joanne

Hi, I am a final year student at University and coming towards the end of my course. In terms of my expected degree, I am bordering between a first and a 2:1, with my final semester results awaited, therefore, I am trying to put my 100% into my final semester. In this semester, I have a...