Swap curve steepener /

The case is about a decision problem facing James on whether or not to invest in a structured product called the "CMS Steepener" issued by a large US investment bank. The payoff from the product is linked to two constant maturity swap (CMS) rates, and the investor profits if the difference...

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Bibliographic Details
Main Authors:	Varma, J. R. (Jayanth R.) (Author), Virmani, Vineet (Author)
Format:	eBook
Language:	English
Published:	London : Indian Institute of Management, Ahmedabad, 2017.
Series:	SAGE Knowledge. Cases.
Subjects:	Finance > Statistical methods > Case studies. Business mathematics > Case studies. Finances > Méthodes statistiques > Études de cas. Mathématiques financières > Études de cas. Business mathematics Finance > Statistical methods Electronic books. Case studies Case studies. Études de cas.
Online Access:	Connect to the full text of this electronic book

Description
Summary:	The case is about a decision problem facing James on whether or not to invest in a structured product called the "CMS Steepener" issued by a large US investment bank. The payoff from the product is linked to two constant maturity swap (CMS) rates, and the investor profits if the difference between the two CMS rates increases or, alternatively, if the CMS curve steepens. The case describes the risks that investing in such a product poses, and presents relevant data on the CMS rates, term structure and recent financial history of the issuer to help resolve James's decision problem.
Item Description:	Originally Published InVarma, J. R., & Virmani, V. (2017). Swap curve steepener. Ahmedabad, IN: Indian Institute of Management, Ahmedabad.
Physical Description:	1 online resource : illustrations.
ISBN:	9781526490025 1526490021