BFM Numericals Solved · Part 3: Treasury and ALM

Chapter 8: Derivatives: FRAs, swaps, futures and options

FRAs, interest rate and currency swaps, currency futures and options: what each pays, how it is settled, and how banks and their customers use them to hedge.

Buyers of the e-book, or of the print copy, which includes it, read the whole chapter. Everyone can read the free sample, pages 1 to 24 of the e-book.

In this chapter

• 8.1Derivatives in a bankp. 167
• 8.2Forward rate agreementsp. 168
• 8.3Interest rate swapsp. 170
• 8.4Comparative advantagep. 172
• Four 30-second routesp. 173
• 8.5Currency swapsp. 174
• 8.6Currency futuresp. 175
• 8.7Optionsp. 177
• 8.8What an option is worthp. 179
• 8.9Collars and capsp. 180
• Which tool? A map of the chapterp. 181
• Exam traps and conventionsp. 182
• Practice: 30 questions in three roundsp. 183
• Answers, with every wrong option explainedp. 186
• Make it stickp. 189
• Chapter 8 on one pagep. 190

Corrections and updates

None for this chapter so far. Every correction to the book, and any rule that changes after its date, is listed on the errata page.