Product performance
This month, FVC analyses two, similar products for the effect that that interest rates and volatility – the main pricing parameters – have on their performance
In the April 2011 issue of Structured Products, one of the products analysed in this section was a principal-protected product linked to the SPDR Gold Trust - a popular underlying in the US. It had a five-year term and offered 100% participation with a cap on returns of 13.6%. As usual, the product was priced with a starting fair value of 95% and with an assumed issuer funding level of 100 basis points per annum. It was priced using market data as of eight months ago on September 10, 2010.
This
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