DYNAMIC FUND PROTECTION WITH DETERMINISTIC GUARANTEED LEVEL VALUATION PROCEDURE



Financial solutions home page

  1. Log into your account or if you are a new user, register your account and enable two factor authentication.
  2. Click on the [Dynamic fund protection-DGL] button, this will take you to the Dynamic fund protection valuation parameters page.

Dynamic fund protection valuation parameters page

  1. Enter the name of underlying equity index.
  2. Enter the name of currency of valuation.
  3. Enter the value of current fund unit price.
  4. Enter the fund maturity period in years.
  5. Enter the guaranteed-return base multiplier factor. For example, if the deterministic guaranteed level at time t is given by the following functional form: GuaranteedLevel = 0.95*Exp[guranteedReturn*t], the guranteed return factor multiplier is entered as 0.95.
  6. Enter the continuously compounded guaranteed level. This is the guranteedReturn in the preceding statement.
  7. Enter the fund participation rate with respect to index. For example, if the underlying index is modelled as I(t) = I(0)*Exp[X(t)] where X(t) is a Wiener process, and the time t value of the fund F(t) is such that F(0) = V, and F(t) = V*Exp[p*X(t)], the participation rate must be entered as p.
  8. Enter the annualised implied index volatility.
  9. Enter the continuously compounded index dividend yield.
  10. Enter the continuously compounded zero rate for maturity period.
  11. Enter the allocated expenses and taxes.
  12. Enter the profit loading. If the profit loading is x, and the price of the gurantee including expenses and tax is G, the final price is calculated as G*(1.0 + x).
  13. Click the submit button and this will take you to the output display page.

Output display page

  1. You can view pricing model output together with input parameters you entered.
  2. At the bottom of the page you can click on the button to create database record for the current model output. This will take you to the create database record page where you should click on the create button to create the database record.
  3. After clicking on the create button to create the database record, you will be taken to the database records view page, where you can scroll vertically or horizontally to view database records including the one you just created.
  4. You can filter database records according to the currency of valuation using the filter box. You can click on the details link on the extreme right of a particular database record, this will take you to the particular database record details page.