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Aims of the system |
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FVC Datapricer ™ is intended to provide indicative pricing information and product analysis on a variety of derivative backed structured products. The system will either price and analyse a product defined by the user or try to find suitable products given starting conditions.
This system enables comprehensive analysis to be done and has extensive searching capabilities. It has been designed to be easy to use and accessible to product designers and marketing staff as well as research analysts and actuaries. It will be populated with up-to-date pricing and historical data and keep abreast of all important market product types making it an indispensable tool for all those involved in designing and analysing structured products.
Subscription is available on a corporate basis enabling users from the same company to share information and data. Data, analyses and searches can be saved for future use.
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System set-up: underlyings and products
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For most uses of the Datapricer ™ it is necessary to define or identify underlyings and products. For the purposes of Datapricer ™, structured product solutions are made up of the underlying asset (with its pricing and historical and simulated data definitions) and a product definition (with cash flows and underlying linked returns). We specify this below:
Underlyings
The Datapricer ™ requires an underlying asset on which the derivative product will be based. This will usually be an equity index, single stock or basket. The underlying can contain any combination of implied parameter information, historical data and simulated data.
Implied parameter information (interest rates, volatility information and dividend yields) can be supplied by either FVC or the user. FVC will populate on regular basis approximate pricing information for selected indices. FVC data is to be taken as indicative and for use of the system only. The user can also define and save their own implied information.
FVC will store and update historical data for several popular underlyings made up of the major equity indices and other regular choices. It is not possible for users to use or store their own historical data.
Simulated parameters, which specify predicted growth rate and volatility can be used to enable theoretical return profiles of the products to be calculated.
Products
Product builder. You choose from a menu for one of several standard product types and input product details such as maturity, income and capital return profile. The different variations allowed mean that virtually all current market products can be analysed on this system. As new product types come to market, or at the request of its users, FVC will endeavour to add them to the system in order to ensure the widest possible product coverage.
Current products in the market (as seen on FVC Research website). FVC will set up major important products and users can access and analyse them quickly and easily.
FVC examples of standard products. We will keep standard benchmark products on the system for users to see how their pricing changes over time.
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Using the system |
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The final component of the Datapricer ™ is its analytic capabilities. This completes the three main concepts of underlyings, products and analyses. There are three principal routes to the system, which we list in order of likely usage.
(1) If you have selected or specified details of an underlying, and you know the product you wish to analyse then you can immediately price and obtain historical and/or simulated analyses. This is most useful for examining products and variations.
(2) If you have an underlying, broad idea of product type together with a target price or price range, then the system can find the closest solutions for you.
(3) If you have a real structure price for a given product then an underlying can be set up from the pricing information that it gives. This enables you to analyse other products and get prices that are consistent with your observed real price in the market.
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DataPricer Introduction
Methodology
