Product performance

This month, FVC analyses two, similar products for the effect that that interest rates and volatility – the main pricing parameters – have on their performance

The need for speed

In the April 2011 issue of Structured Products, one of the products analysed in this section was a principal-protected product linked to the SPDR Gold Trust - a popular underlying in the US. It had a five-year term and offered 100% participation with a cap on returns of 13.6%. As usual, the product was priced with a starting fair value of 95% and with an assumed issuer funding level of 100 basis points per annum. It was priced using market data as of eight months ago on September 10, 2010.

This

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here