Published October 22, 2022 | Version v1
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Equity Linked GIC Pooling

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Description

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://osf.io/4kwbp/wiki/home/

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OSFgicPooling.pdf

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