Swap Curve Steepener

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Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/22219

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DC Field	Value	Language
dc.contributor.author	Varma, Jayanth R.
dc.contributor.author	Virmani, Vineet
dc.date.accessioned	2019-06-06T20:31:30Z
dc.date.available	2019-06-06T20:31:30Z
dc.date.issued	2017-12-27
dc.identifier.uri	http://hdl.handle.net/11718/22219
dc.description.abstract	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.	en_US
dc.publisher	Indian Institute of Management Ahmedabad	en_US
dc.relation.ispartofseries	F&A0539;
dc.subject	Derivatives	en_US
dc.subject	Interest Rates	en_US
dc.subject	Swap	en_US
dc.subject	Credit Risk	en_US
dc.title	Swap Curve Steepener	en_US
dc.type	Cases and Notes	en_US
Appears in Collections:	Cases and Notes

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