Development a dynamic real time model to carry out the CTD analysis for interest rate futures market in India, Comprehensive analysis of the currency Carry Trade from year 2000 onwards, and a nalysis of the derivative accouting policy of top 200 companies in india; Barclays Capital, Mumbai

Abstract

The summer internship started on the 4th of April, 2010 and ended on 11th June 2010. The initial 3 days of the internship were meant for training and networking sessions held in Barclays Singapore. After that I joined the EM FX and Rates desk at Barclays Capital Mumbai. This team consisted of 3 people on the FX side and 3 on the rates side, headed by my line manager, Mr. Anindya Dasgupta. During the internship, I worked on multiple projects which include: • Developing a dynamic real time model to carry out the CTD analysis for Interest Rate futures market • Comprehensive analysis of the curreney "Carry Trade" from year 2000 onwards. • Analysis of the Derivative Accounting Poliey of Top 200 companies in India. • Developing a pricer/calculator to find the "carry" at the time of unwinding of a Overnight Index Swap and accordingly price the swap if the client rolls over the swap trade. • Developing tools to summarize the outstanding positions of our clients in various FX and Rates products across all markets in Asia. • Developing a model which gives the projections of changes in liquidity in the' Banking system. • Engage in mock trading in the "USD /INR" spot market so as to discover on a first hand basis - how to use news, technical analysis and fundamentals to trade.