DYNAMIC FUND PROTECTION WITH STOCHASTIC 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-SGL] 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 index underlying the fund.
  2. Select the name of currency of valuation from the drop-down list.
  3. Enter the name of stochastic guaranteed level underlying asset.
  4. Enter the value of current fund unit price.
  5. Enter the value of current stochastic guaranteed level price. In this case, the guranteed level is determined by the value of a volatile asset which can go up or down in unpredictable manner.
  6. Enter the fund maturity period in years.
  7. Enter the continuously compounded fund dividend yield.
  8. Enter the continuously compounded stochastic guaranteed asset dividend yield.
  9. Enter the annualised implied fund volatility.
  10. Enter the annualised implied stochastic guaranteed level asset volatility.
  11. Enter the correlation between fund returns and stochastic guaranteed level returns.
  12. Enter the continuously compounded zero rate for maturity period.
  13. Enter the allocated expenses and taxes.
  14. 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).
  15. 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.