Advance Derivatives — DU Bachelor of Business Administration (Financial Investment Analysis) Previous Year Question Papers

2. No negative marking. Question 1: Given: o (daily volatility) = 2% I (time to expiry) = 1 month Calculate: (5 Marks Each:40 marks) 1. Call Delta 2. Put Delta 4. Call Vega 5. Call Theta 6. Put Theta 7. Call Rho 8. Put Rho Question 2: Explain the following (20 Marks) 1. Call on Call Option 2. Call on Put Option . Knock-in Barrier Optior Knock-out Barrier Optio 5. Bermuda Option Question 3: Explain the Interest Rate and Currency swap. Suppose two companies, "ABC Ltd" (US) and "BCD Ltd" (IND), wish to borrow $1 lakh and 90 lakhs INR for 3 years (USDINR = 90 rupees). But company ABC Ltd wants money in INDIA and company BCD Ltd in the USA Questions: (10 Marks) 1. In which country does company ABC Ltd. have a comparative advantage, and why? 2. In which country does company BCD Ltd. have a comparative advantage, and why? 3. What is the total comparative advantage they have? 4. If they share the comparative advantage in the ratio of 40% ABC and 60% BCD, what will be the effective interest rate for these companies in their respective preferred countries? Question 4: Explain the concept and its significance: (10 Marks) 1. Weather Derivatives 2. HDD (Heating Degree Days) 3. CDD (Cooling Degree Days) 4. Electricity Derivatives: Define the meaning and explain the markets where they can be Question 5: Write short notes on the following: (10Marks) 1. Credit default swaps 2. Interest rate cap and floor 3. Insurance Derivatives 4. Energy Derivatives