The correct answer is c. Upward sloping. When short interest rates rise and long-term interest rates remain unchanged, it causes the yield curve to become upward sloping. This indicates that short-term interest rates are lower than long-term interest rates, showing that investors are willing to accept a lower return on short-term investments in exchange for the potential for higher returns in the future.

Based on the given information, the bank has a forward purchase limit of Rs 250 crores for the exporter. Initially, contracts for Rs 100 crores were booked and utilized, and then a subsequent contract for Rs 100 cro was booked and canceled.

Considering this, the maximum amount the would be able to book under the forward purchase limit would be Rs 150 crores. This is because the total booked and utilized amount plus the amount from the canceled contract sum up to Rs 200 crores, leaving an limit of Rs 50 crores within the forward purchase limit of Rs crores. Hence, the correct answer is b. Rs 150 crores.

A CDS (Credit Default Swap) buyer in India can buy aDS contract on any of the options listed: a. Single corporate bond b. Bond portfolio . Basket of bonds

Therefore, the correct answer is b. Any of them

The value of the cross currency swap would have decreased. When the INR interest rates increase, the fixed INR interest payments that the company is obligated to make become more expensive. This means that the liability of the company increases, thus decreasing the value of the cross currency swap.

Therefore, the correct answer is c. Decreased.

To calculate the forward rate, we need to consider the spot exchange rate and the interest rate differentials between the two currencies. The formula to calculate the forward exchange rate is:

Forward Rate = Spot Rate x (1 + (Interest Rate of the first currency x Time)) / (1 + (Interest Rate of the second currency x Time))

Given: Spot exchange rate: 64.79/80 Premium for 90 days: 69/70

Using the above formula: Forward Rate = 64.80 x (1 + (0.069 x 90/365)) / (1 + (0 x 90/365)) ≈ 65.10

Therefore, the forward rate for 90 days would be approximately Rs 65.10.

So, the correct answer is a. Rs 65.10.

The correct answer is:

a. All of above

Foreign currency futures contracts differ from foreign currency forward contracts in that they involve all of the following characteristics:

• Standardized amount
• Dealt only on exchange
• Standardized delivery

Therefore, the correct option is a. All of the above.

The correct answer is:

a. recognized by CCIL

Banks may do foreign exchange contracts through brokers that are recognized by CCIL (Clearing Corporation of India Limited).

An Out of the Money European Option has:

a. Zero Value

Out of the Money European Options have no intrinsic value, and since they are out of the money, they also do not have any time value, leading to a zero value.

Therefore, the correct answer is a. Zero Value.

The correct answer is:

a. Increase; increase

According to the Garman Kohlhagen pricing model, the put option premium will increase if the volatility in the returns of USDINR increases, and the put option premium will also increase if the USDINR spot rate increases.

Counterparties of an IRS (Interest Rate Swap) deal in India can be:

b. Both banks or Bank and other NBFC/FI/Corporate

The counterparties of an IRS deal in India can be either both banks, or a bank and other NBFC/FI/Corporate entities.

FEDAI (Foreign Exchange Dealers Association of India) is an of:

d. all AD-I banks in India

FAI is an association of Authorized Dealer Category-I banks in India.

The forward exchange contract can be done for an option period of maximum:

d. one year

Forward exchange contracts can typically be arranged for periods up to one year, allowing parties to lock in exchange rates for future transactions over an extended time frame.

The correct answer is:

a. Decrease, decrease

If the USDINR exchange rate increases, the premiums on USDINR call options will decrease, and the premiums on USDINR put options will also decrease.

The correct answer is:

a. Hedge Ratio

In the case of cross hedging through IRF (Interest Rate Future) contract, an investor needs to consider the hedge ratio, which is the ratio of the PVBP (price value of a basis point) of the bond to be hedged and the PVBP of the IRF contract. This helps in determining the appropriate position size to effectively hedge the risk.

Margin is compulsory in:

d. future contracts

Margin requirements are an essential aspect of futures contracts, ensuring that both parties have adequate funds to cover potential losses and fulfill their obligations.

The floating rate in an OIS (Overnight Index Swap) deal is typically linked to:

b. NSE O/N MIBOR

OIS deals commonly use the NSE O/N MIBOR (Mumbai Interbank Offered Rate) as the reference rate for the floating leg.

The minimum lot size of futures contract of JPY/INR the NSE (National Stock Exchange) market is:

b. JPY ,000

RollOvers of FX Forward Contracts typically occur at the prevailing market rates. Therefore, the correct answer is:

b. Prevailing Market rates

The importer can hedge import payment in a foreign currency by booking a:

b. Forward purchase contract

A forward purchase contract allows the importer to fix the exchange rate for the future date, providing protection against the potential adverse movements in the exchange rate.

When interest rates fall, a bank that perfectly hedges its portfolio of Treasury securities through bond futures faces the following in its entire fixed income portfolio considering both the Treasury securities and bond futures contract:

a. Experiences a gain

The decrease in interest rates would lead to an increase in the value of the Treasury securities, resulting in gains. Additionally, the value of the bond futures contract would also increase, contributing to a gain in the overall fixed income portfolio.

The correct answer is:

d. All of the above can belyings in a financial derivative contract

All the options listed, including equity index, fixed income security, and market interest rate, can serve as underlyings in financial derivative contracts.

The original 5-Year OIS deal entered by State Bank of (SBI) with HSBC, which involved SBI paying a rate of 7% p.a., and with the prevailing 3-Year swap rate being 6% p.a., would SBI a:

d. Positive MTM (Mark-to-Market)

With the prevailing swap rate being than the original fixed rate, SBI would have a positive mark-to-market (MT) valuation on the OIS deal.

The underlying for an Interest Rate Futures (IRF) contract in India may be:

a. Both Short term interest rate and Notional bondInterest Rate Futures in India can have both short-term interest rates and notional bonds as underlying securities.

The gross payoff and net payoff of the trader on the expiry date is as follows: Gross Payoff: Max(S - X, ) = Max(64 - 65, 0) = 0 (since final price is less than the strike price)

Net Payoff: Grossoff - Premium Received = 0 - 1.00 = -1.00

The correct option is: c Rs. 0.00; Loss of Rs. 1000

Daily resettlement typically reflects:

d. Gain/Loss on the Position

The daily resettlement reflects the gain or loss on the position based on the movement in the market price of the underlying asset.

The purpose of the derivatives market includes: c. All of the Above

The derivatives market aids in price discovery, helps in managing and transferring risks, and is influenced by changes in the volume of the underlying market.

The determinants for pricing an option include: d. All as above

Volatility, interest rates, and strike price are all significant factors in determining the price of an option.

To calculate the invoice price, we can use the following formula:

Invoice Price = (Settlement Price - Accrued) x Conversion Factor

Given: Settlement Price = Rs. 101.3 Conversion Factor =0.854 Accrued Interest = Rs. .33

Plugging the values into the formula: Invoice Price = (101. - 3.33) x 0.854 Invoice Price = 97.97 x 0.854 Invoice Price ≈ 83.

Therefore, the correct invoice price is not one of the provided options. If needed, I can recalculate using the provided options.

I apologize for the confusion in the previous response. Let's recalculate the invoice price using the provided options.

Invoice Price = (Settlement Price - Accrued Interest) x Conversion Factor Invoice Price = (101.3 - 3.33) x 0.854 Invoice Price ≈ 87.92

Given the available options, none match the calculated value. However, based on the calculation, the closest option is b. 89.84, though it is not an exact match.

To calculate the limit for forward contracts for the next year using the probable exposure method, we consider the export for the last five years. Since the exact turnover values for each year are not provided, I'm unable to perform the calculation to determine the forward contract limit.

Without the specific export turnover values for the last five years, it is not possible to accurately derive the limit for forward contracts for the next year.

If you have the specific export turnover figures for each of the mentioned years, I would be able to assist in calculating the limit using the probable exposure method. Alternatively, you may need to calculate the limit using the provided turnover values and then select the most appropriate option.

To calculate the limit for forward contracts for the next year under the probable exposure method, we would need the specific export turnover values for each of the mentioned years. Unfortunately, as these values are not provided, I am unable to accurately derive the limit for forward contracts for the next year.

Without the specific export turnover figures, it's not possible to apply the probable exposure method to calculate the forward contract limit.

If you have the specific export turnover values for each of the mentioned years, I can assist in performing the necessary calculations. Alternatively, if you have a different question or need to discuss an alternative approach, please feel free to let me know.

The correct answer is: a. Both the parties to honour the commitment

In a Forex Forward Contract, both parties are obligated to honor the commitment to exchange the specified amount of one currency for another at a predetermined exchange rate on a future date.

The correct answer is: b. Buy a 1-month USDINR Forward Contract

By buying a 1-month USDINR Forward Contract, the trader locks in the exchange rate for the future, enabling them to benefit from the anticipated widening interest rate differential between INR and USD while minimizing FX risk.

The correct answer is: d. Buy GBPINR futures

By buying GBPINR futures, the trader can make leveraged gains if the GBPINR exchange rate is expected to rise. This allows the trader to benefit from the anticipated appreciation of the pound against the rupee.

The American company, to hedge its exchange rate risk, would use a cross currency interest rate swap where it would:

b. Receive INR interest at 8% fixed and pay USD interest at quoted rate

This type of swap would allow the American company to hedge its exchange rate risk arising from its investment in a Rupee denominated masala bond while managing its exposure to interest rate fluctuations.

If the USDINR exchange rate increases, a short position inINR put option will:

c. Make losses

When the USDINR exchange rate increases, value of the put option decreases, causing a loss for the seller of the put option (short position).

In a situation where the market price of an interest rate futures contract is lower than its fair price, a futures trader may likely follow:

c. Reverse Cash and Carry Arbitrage

Reverse Cash and Carry Arbitrage involves selling the underlying asset and buying the futures contract to take advantage of the price differential. This helps in profiting from the convergence of the futures price to its fair value.

In the case of an OIS (Overnight Index Swap) with a maturity of 11 months, the settlement of the interest differential is typically done:

d. Only Once

The interest differential is typically settled only once at the maturity of the OIS, based on the accumulated difference between the floating and fixed interest rates over the contract period.

In ETD (Exchange-Traded Derivative) Counterparty Default, the loss is typically:

c. Loss to counterparty

When a counterparty defaults in an ETD transaction, the non-defaulting party may incur a loss, and the defaulting party will face the consequence of the loss.

Increasing Volatility typically means:

d. Lower the value of Call Option

When volatility increases, the value of options tends to increase, as the likelihood of the option ending in-the-money rises. Specifically, the value of a call option would increase with higher volatility.

Since the INR is appreciating and volatility is rising, it would be suitable to:

c. Buy a Put

Buying a put option could offer protection or potential profit in this scenario, as it allows the purchase of the underlying asset at a predefined price, thus mitigating the risk of further INR appreciation. Additionally, increasing volatility enhances the value of put options, making it an advantageous choice in this situation.

The most common way to prematurely unwind an OIS deal in India is:

b. Unwinding original counterparty

Unwinding the OIS deal with original counterparty is the most commonly used method for prematurely terminating the contract.

Net Zero Supply for a derivative contract implies:

a. The derivative contract simultaneously creates two opposite positions

In this case, the derivative contract creates two opposite positions, which balances each other out, in a net zero supply.

To calculate the gain for the trader on the USD/INR option, you can use the following formula:

Gain = Max - X, 0) - Premium

Where: S = Spot or RBI reference rate on expiry day X = Strike price Premium Cost of the option

Using the provided data: = 63.75 X = 64.5 Premium = .20 per USD = 0.20 * 1000 (1 lot size) = 200

Gain = Max(63.75 -64.5, 0) - 200 = Max(-0.75, 0) - 200 = 0 - 200 -200

Therefore, the gain for the trader on this contract is:

d. Rs. -200

The correct action for the trader on 22nd of February to offset his short position in 2 contracts (1 contract = 12000 shares) of SAIL equity futures expiring on 28th March 2018 would be:

c. Buy 2 contracts of SAIL equity futures expiring on 22nd February 2018

To offset his short position, the trader needs to buy back the same number of contracts (with the same expiration date or earlier) that he initially sold, allowing him to close out his position before the expiration date. Therefore, the trader should buy 2 contracts of SAIL equity futures expiring on 22nd February 2018 to offset his position.

The correct option is:

c. Any of the given options

Stock can be either bought or sold before expiry, and they can cash settled or result in delivery if not settled, depending on the trader's actions and market conditions. Therefore, any of the given options is applicable to stock futures.

The Daily Settlement Price of currency futures on Indian exchanges is:

d. The last half-hour weighted average of currency futures traded prices

The settlement date for the forward exchange contract, in the event of the maturity date falling on a declared holiday, will be postponed to the next working day. Therefore, the correct answer is:

c. be postponed to the next working day.

The spot price of HDFC Bank shares is Rs. 185.00. Given the strike prices for the call and put options are Rs. 1800 and. 1900 respectively. Here's how the options are classified:

• The call option with a strike price of Rs. 1800 is in-the-money because the spot priceRs. 1850) is greater than the strike price.
• The put option with a strike price of Rs. 1900 is out-the-money because the strike price is greater than the spot priceTherefore, the correct answer is:

a. The first option is in-the-money and the second option is out-of-the-money

To calculate the 3 month USD/INR forward bid rate, we can use the following formula:

Forward Rate = Spot Rate + (Forward Points / 10000)

Using the given bid points of 77 paise: Forward Rate = 647200 + (77 / 10000) Forward Rate = 64.7277

R to four decimal places, the 3 month USDINR bid rate will be 64.7277, so the closest option isb. 65.495

The correct definition of a strangle is:

c. BUY OTM Call and OTM Put

The correct answer is:

d. Lose Premium

The correct answer is:

b. A Long Strangle

To increase the portfolio beta from 1.2 to 1.4 the mutual fund should buy Nifty futures contracts.

We can use the following formula to calculate the required number of contracts: [ \text{Number of contracts} = \frac{\text{Change in beta} \times \text{Portfolio value}}{\text{Nifty price} \times \text{Contract size}} ]

Given: Change in = 1.4 - 1.2 = 02 Portfolio value = Rs. 30 crores = Rs. 300,,000 Nifty futures price = 10,000 Nifty futures contract size = 75

Plugging in the values: \text{Number of contracts} = \frac{0. \times 300,000,000}{10,000 \times 75} = 80 ]

So, the correct answer is: c. Buy; 80 contracts

To calculate the gross payoff for the trader, we can use the formula:

Gross Payoff = Max(0, S -) - Premium

Where: S = Spot price of the stock on the expiry date X = Strike price of the option = Premium paid per share

Given: S = Rs. 0 X = Rs. 1700 Premium = Rs. 25 per Number of shares = 2 contracts * 100 shares per contract = 200 shares

Gross Payoff = Max(0,1500 - 1700) - (25 * 200) Gross Pay = Max(0, -200) - 5000 Gross Payoff = 0 - 5000 Gross Payoff = -500

Therefore, the gross payoff to the trader is: a Loss of Rs. 5000

To calculate the net payoff for the trader, we can use the formula:

Net Payoff = (Max(X - S, 0) - Premium) * Number of shares

Where: S = Spot price of the stock on the expiry date X = Strike price of the option Premium = Premium received per share

Given: S = Rs. 1500 X = Rs. 1700 Premium = Rs. 50 per share Number of shares = 5 contracts * 100 shares per contract = 500 shares

Net Payoff = (Max(1700 - 1500, 0) - 50) * 500 Net Payoff = (Max(200, 0) - 50) * 500 Net Payoff = (200 - 50) * 500 Net Payoff = 150 * 500 Net Payoff = 75,000

Therefore, the net payoff to the trader is: b. Loss of Rs. 75,000

To calculate the gain or loss for the importer, we can consider the USD Call option and INR Put option separately.

For the USD Call option: The importer has the right to buy USD at the strike price of 67.20, and the spot rate on the expiry date is 68.00. Hence, the option is not exercised, and the importer loses the premium.

For the INR Put option: The importer has the right to sell USD at the strike price of 67.20, and the spot rate on the expiry date is 68.00. It's also out of the money, and the importer loses the premium.

Therefore, the correct answer is: b. Lost his premium

The correct answer is: b. Fluctuates randomly

To calculate the total profit or loss for the trader, we need to consider the positions taken on 1st February and 8th February separately.

Position 1 (On 1st February):

• Sold 2 contracts of Nifty futures at Rs. 10,700 each
• Contract size = 75 shares per contract

Position 2 (On 8th February):

• Sold an additional 3 contracts of Nifty futures at Rs. 10,300 each

Calculation of profit/loss on 22nd February: The trader's profit/loss from the first position: = (Initial Futures Price - Final Futures Price) * Contract Size * Number of Contracts = (10,700 - 10,500) * 75 * 2 = 200 * 150 = Rs. 30,000

The profit/loss from the second position: = (Initial Futures Price - Final Futures Price) * Contract Size * Number of Contracts = (10,300 - 10,500) * 75 * 3 = (-200) * 225 = Rs. -45,000

Total Profit/Loss: = Profit/Loss from Position 1 + Profit/Loss from Position 2 = 30,000 - 45,000 = Rs. -15,000

Therefore, the trader has made a total loss of Rs. 15,000, which makes the correct answer: c. Loss; Rs. 15,000

To calculate the 1-year USD/INR forward premium, can use the interest rate parity formula:

Forward premium = (F - S) / S * (12 / n)

Where: F = Forward exchange rate S = Spot exchange rate n = Number of to delivery.

Given: Spot exchange rate (S) =65 USD Libor = 2.25% INR Mibor 7.0% n=12 months

Using the interest rate parity formula: Forward premium = (F - 65) / 65 * ( / 12)

To calculate the forward exchange rate: F = S * (1 + (USD Libor / 100)) / (1 + (INR Mib / 100)) F = 65 * (1 + (2. / 100)) / (1 + (7.0 / 100)) F 65.5601

Now, calculating the forward premium: Forward premium ≈ (65.5601 - 65) / 65 * (12 / 12) Forward premium 0.5601 / 65 * 12 Forward premium ≈ 0.0917

Rounding off to two decimal places, the 1-year USDINR forward premium will be approximately Rs. 0.09, which is not provided in the options. Given the available options, the closest one would be d. Rs. 3.02 however, it does not reflect the accurate calculation.

To calculate the fixed rate on the Forward Rate Agreement (FRA), we can use the formula:

Fixed Rate = (Spot rate (1 + (n * interest rate for the longer tenor) ) / (1 + (n * interest rate the shorter tenor)) - 1) / (n * tenor fractionGiven: Spot rate = 180-day LIBOR 30-day LIBOR = % 210-day LIBOR = 6% n = 180 - 30 = 150 days

the above formula: Fixed Rate = (1 + (150360 * 6%)) / (1 + (150/360 * 5%)) - 1 / (150/360)

Fixed Rate = (1.015 * 1.0125 - 1) / (0.4167) Fixed Rate = (1.4375 - 1) / (0.4167) Fixed Rate = .0284375 / 0.4167 Fixed Rate ≈0.0682

Converting to percentage: Fixed Rate ≈ 6.82%

Rounding off, the fixed on the FRA is approximately 6.82%, which is not provided in the options. Given the available options, the closest one would be: a. 6.14 percent, but this does not reflect accurate calculation.

To calculate the premium for a 3-month USD Put option with a strike at 65.00 when the Call costs 350 paise, we need to use the put-call parity relationship, which states:

Premium(put) - Premium(call) = (F - X) / (1 + R)^t - (S - X)

Where: Premium(put) = Premium for the put option Premium(call) = Premium for the call option F = 3-month forward rate X = Strike price R = Interest rate t = Time to expiration S = Current spot rate

Given: Premium(call) = 350 paise Strike price (X) = 65.00 Spot rate (S) = 67.50 3-month forward rate (F) = 66.50 Time to expiration (t) = 3 months Interest rate (R) is not provided, so we will assume a risk-free rate.

Using the put-call parity relationship: Premium(put) - 350 = (66.50 - 65.00) / (1 + R)^1/4 - (67.50 - 65.00)

Rearranging the equation: Premium(put) = (66.50 - 65.00) / (1 + R)^1/4 - (67.50 - 65.00) + 350 Premium(put) = (1.50) / (1 + R)^1/4 - 2.50 + 350 Premium(put) = (1.50) / (1 + R)^1/4 + 347.50

As the interest rate (R) is not provided, we cannot accurately calculate the premium for the put option without it. Hence, the correct option cannot be determined based on the information provided.

I apologize for the confusion in my previous response. Given the information provided, we can calculate the premium for the 3 Month USD Put using the put-call parity formula:

Premium(put) - Premium(call) = (F - X) (S - X) / (1 + R)^t : Premium(put) = Premium for the put option Premium(call) = Premium for the call option F = 3-month forward rate X = Strike price R = rate t = Time to expiration S = Current spot rate The interest rate is not mentioned so we will use an assumed risk-free rate.

Using the provided values: Premium(call) = 350 paise Strike price (X) = 65.00 Spot rate (S) = 67.50 3-month forward rate () = 66.50 Time to expiration (t) = 3 months Assumed interest rate (R) = 2.% or 0.025 (quarterly)

Calculating premium for the put option: Premium(put) - 350 =66.50 - 65.00) - (67.50 -65.00) / (1 + 0.025)^0.25 Premium(put) = (66.50 - 6500) - (67.50 - 65.00) / (1.25) Premium(put) = 1.50 - .50 / 1.00625 Premium(put) ≈ -1. / 1.00625 Premium(put) ≈ -0.994

As the calculated premium for the put option is negative, it suggests an arbitrage opportunity or an inconsistency in the provided data. There seems to be an error, and the correct premium be determined using the given information.

The correct choice is:

d. USD Put/INR Call

When the US Federal Reserve increases interest rates, the premium for USD Put options and INR Call options tend to increase.