Computer based system for pricing an index-offset deposit...

Details Computer based system for pricing an index-offset deposit... Computer based system for pricing an index-offset deposit...

2011-07-26

2011-07-26

Havan, Thu Thao (Department: 3695)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

C705S037000

Reexamination Certificate

active

07987132

ABSTRACT:
A computer-based method for determining a value of an index-offset deposit product, having a principal amount P, a term T, a specified guaranteed amount G, and an index credit C, comprising:d) setting trial values for fixed-income-linked crediting parameters for said product implying an expected fixed-income-linked credit component F at the end of the term T;e) determining a cost for an equity option paying equity-linked credit component E such that the index credit C=E+F, to be paid at T, together with the principal P, is at least equal to G; andf) summing said equity option cost, present value of principal, and present value of fixed-income-linked credit component to determine said value of said index-offset deposit product.

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