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GIC Pooling Approach
- Author(s):
- David Lee
- Contributor(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Business Management
- Item Type:
- Presentation
- Tag(s):
- gic, gic poo, accru
- Permanent URL:
- https://doi.org/10.17613/e3h1-dd82
- Abstract:
- Payoff for equity GIC requires a dynamically created basket such that the weight factors incorporate a division by the spot levels on the issue date, which converts the payoff to one based on a basket of comparative returns (rather than basket returns). To automate feeds on a daily basis we will need to create new baskets on a daily basis.
- Notes:
- https://finpricing.com/lib/FiBondAccrual.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 8 months ago
- License:
- Attribution
gicpooling.pdf