Derivatives—Through the Window
1. Universe of Derivatives: Facts
Global Foreign Exchange Market Turnover
Growth of Global Foreign Exchange Turnover
Concentration in the Banking Industry
Geographical Distribution of Turnover
Amount of Foreign Exchange Contracts Outstanding as on End-June 2010
Growth of Global Foreign Exchange Positions
Amount Outstanding of Over-the-Counter (OTC) Derivatives
Amount Outstanding of Exchange Traded Derivatives
Size of OTC Derivative Markets in India
Outstanding Derivatives of Banks in India
2. Derivatives Introduced: Indian Perspective
Participants in the Derivatives Market
History and Legalization of Derivatives in India
Amendments and Additions to Reserve Bank of India Act, 1934 to Legalize OTC Derivatives
Introduction of Currency Futures and Options on Exchanges in India
Concept of Base Currency and Home Currency
Concept of Hedging in Over-the-Counter Markets
Introduction to Forex Rates Determination
How Do Banks Calculate Value Cash/Value Today Foreign Exchange Rate?
Important Concept: Cross Currency
Currency Futures: Introduction
Market Participants in Currency Futures Segment
Currency Futures: Technical Aspects
Concept of Margin in ETC Markets
Advantages of Currency Futures Market
NSE and Thomson Reuters Screenshots
Summary Statement and Ledger Formats
Difference Between ETC and OTC
Option Definitions (From Currency Perspective)
Currency Option Market Mechanics in Real World
Introduction to Black and Scholes
Black–Scholes Pricing Formulas
Black–Scholes Pricing: Currency Options
Assumptions of the Black–Scholes Model
Factors Affecting Option Prices
Underlying Price and Strike Price
Option Greeks: Measurement of Risk in Option Pricing for Vanilla Options
Graph of the Black–Scholes Model
Historical/Realized Volatility Calculation
Estimating Volatility from Historical Data
Application of Option Greeks, Risk Reversal and Fly in Real Market Scenario
7. FX Options: Structured Solutions
Target Redemption Notes (TARN)
Vanilla Option with Knock-In (KI) (American)
Vanilla Option with Double Knock-In (DKI) (American)
Vanilla Option with Knock-Out (KO) (American)
Vanilla Option with Double Knock-Out (DKO) (American)
Vanilla Option with Knock-In and Knock-Out (KIKO) (American)
Double One Touch (DOT) (American)
Double Must Touch (DMT) (American)
Double No Touch (DNT) (American)
Bull Spread/Call Spread Strategy
Bear Spread/Put Spread Strategy
8. Interest Rate Products: Vanilla to Exotic
Floating to Fixed Range Accrual
9. Money Market: The FX Impact
Interlinkage Between Money Market and Currency Market
Inter Corporate Deposits (ICD)
Most Common Interest Rate Benchmarks and Curves (Indian and Global)
Mumbai Interbank Forward Offered Rate
London Interbank Offer Rate and Interest Rate Swap
Global Money Market Risk Indicators and Their Impact on Exchange Rate
Industrial Production Growth Rate
Foreign Institutional Investment
11. Fundamental Analysis and Data Releases
Personal Consumption Expenditure (PCE) Deflator
Institute of Supply Management Manufacturing Index
Institute of Supply Management Non-manufacturing Index
NAPM: Chicago Index (Chicago PMI)
Personal Income and Expenditure Outlays
Consumer Sentiment: Michigan Survey
Leading Indicators Composite Index
Treasury International Capital Data
Royal Institute of Chartered Surveyors Residential Housing Survey
Introduction and Importance of Technical Analysis
Fundamental Analysis Versus Technical Analysis
13. ISDA Agreement: Documenting Derivatives
Events of Default and Termination Events
Appendix 3: Derivative Disclosures in Annual Reports
Appendix 4: Master Circular on Risk Management and Inter-Bank Dealings (Issued on 02 July 2007)
Appendix 5: Master Circular on Risk Management and Inter-Bank Dealings (Issued on 01 July 2011)