Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/22219
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dc.contributor.authorVarma, Jayanth R.
dc.contributor.authorVirmani, Vineet
dc.date.accessioned2019-06-06T20:31:30Z
dc.date.available2019-06-06T20:31:30Z
dc.date.issued2017-12-27
dc.identifier.urihttp://hdl.handle.net/11718/22219
dc.description.abstractThe 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.en_US
dc.publisherIndian Institute of Management Ahmedabaden_US
dc.relation.ispartofseriesF&A0539;
dc.subjectDerivativesen_US
dc.subjectInterest Ratesen_US
dc.subjectSwapen_US
dc.subjectCredit Risken_US
dc.titleSwap Curve Steepeneren_US
dc.typeCases and Notesen_US
Appears in Collections:Cases and Notes

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