We regularly undertake valuation assignments of derivatives (vanilla and complex structures) for our clients. Our valuations are accepted by all the large auditing firms and we have been called upon to testify and assist in dispute cases arising from losses involving complex derivative structures. Since 2009, we have provided our expertise in over a hundred derivative dispute cases.
We provide valuation expertise in the following broad areas:
Option contracts- currency and interest rate (vanilla and complex structures)
Swaps – currency and interest rate
Forward contracts (including FRA)
Hedge accounting (fair value and cash flow hedges), Hedge effectiveness test
Guidance on Accounting on derivative transactions (AS 30 and AS 11)
Debt securities- Floating rate bonds issued by banks
Please contact us to entail our services for pricing of derivatives.
