Axis Ahead Sandeep Srinivas
Axis Ahead Sandeep Srinivas
Axis Ahead Sandeep Srinivas
Program 2016
Derivative Sales and Structuring
Identification of • Methodology
• Total Forex Exposure
Clients • Priority Sectors
• Results and Recommendations
• Overview
Development of • Features
• Net Premium
• Overview
Construction of • Features
• Bootstrapping
Objective Result
Sector-wise Identification of Clients - Scope
Client Name
Earnings in forex Website
Incorporation Year
Expenses in forex Mail ID
Sector
Business Group
Cash outflow Telephone No.
Banker
Registered Office
Cash inflow
Credit Rating details
Sector-wise Identification of Clients- Methodology
FMCG Chemicals
Auto
Identify non-clients in each sector and
Automobile
Ancillaries get information on their present banker
and forex position
Sector-wise Identification of Clients –
Results and Recommendations
IT
Non-Clients • World's largest sourcing destination for IT
153 • More than 45 per cent in total services export in
148 2015-16
115 • Small and medium businesses worth US$ 11.6 bn in
107 2015, expected to grow to US$ 25.8 bn in 2020
81 84 90
Pharmaceuticals
59
• Revised Cap on FDI
• Expected CAGR of 20% over the next five years
14 • High growth expected from the Bio Pharma sector
Textiles
• Large employee base : high reliance on the SME
segment
• Huge & stable industry; high growth expected in the
industry
Auto Ancillaries
• High growth rate of exports in the sector
• Huge employee base in the SME segment
• High expected inflow of FDI
Development of Option Pricer
Objective Result
Development of Option Pricer - Features
Plain Vanilla Spread Risk Reversal Straddle
• Call Option • Call spread • Exporter • Long straddle
• Put Option • Put spread • Importer • Short straddle
Strangle Seagull
• Long strangle • Importer Seagull
• Short strangle • Exporter Seagull
Scenario Analysis
Payoff Curve
Net Premium
• To determine the
Approach • Plot the zero rates
zero curve from against the time to
the yield curve that maturity
can be used for the • The module
pricing of swaps • Yield rate needs to developed can be
be calculated from used for the pricing
the excel function for of swaps involving
yield rate single or multiple
payments – POS,
• Linear Interpolation COS, CCS etc
and exponential
Bootstrapping
were used to
determine the zero
rates
Objective Result
Construction of Zero Curve - Features
Inputs
Principal Time to Maturity Coupon Rate Yield Rate Payment Frequency
Zero Curve
Plots the zero rate obtained for each period against the Zero rate for any period lying in between two consecutive
time periods can be determined using linear interpolation
Construction of Zero Curve - Working
Construction of Zero Curve – Assumptions