PRODUCT INFORMATIONThere are three applications in this section, the first one implements tactical switches for bond portfolio management, the second one values equity profits guarantees, and the third one profit-tests equity profits guarantees. The descriptions in this section are brief. Click on the respective application link button to get to the application site, then click on the valuation procedure link for more details.
PRODUCTS
Bond portfolio duration-based tactical switches. This application implements duration-based bond portfolio tactical switches whereby the modified duration of a portfolio of fixed income securities is changed by switching part of the portfolio into fixed income securities(hedging instruments) with different duration. The tactical switches are self-financing in the sense that they only change the duration of the portfolio but the value of the portfolio just before implementing the hedge is the same as its value just after hedge implementation.
Guaranteed-equity-profits instruments. This application calculates the value of an instrument that pays equity profits in a defined range with a fixed floor value and a capped maximum.
Guaranteed-equity-profits instruments profit tests. This application profit-tests whether dealer's profits in the preceding instrument can be met.
