Может, я напишу глупость (я ненастоящий сварщик,я только учусь :)), но во-первых, индекс синтетический, во-вторых, Volatility Control применяется к значению индекса, уже сконвертированному в рубли, и конвертация происходит по споту, а не по форварду:
The Index Calculation Agent shall use the most recently determined Final Weights to determine on each Index Business Day the aggregate performance of the Constituents expressed in terms of US dollars (the “Core Level”). In order to measure the aggregate performance of the Constituents expressed in terms of Russian Roubles (the “FX Core Level”), the Index Calculation Agent shall apply a foreign exchange conversion factor to the performance of the Core Level from the last Rebalancing Date (or Index Start Date, as the case may be) to such Index Business Day. This conversion factor on any Index Business Day is the spot rate for the exchange of Russian Roubles for US dollars (as set out in Part D (Data) below) as determined on such Index Business Day, divided by the spot rate on the Rebalancing Date (or the Core Index Start Date, as the case may be) immediately prior to such Index Business Day.
The Index features a volatility control mechanism, which scales the Exposure (as defined in the Index Conditions) of the Index to the FX Core Level up or down proportionately, in order to target an ex-ante annualized volatility level of 3.25 per cent., subject to an Exposure cap of 120 per cent. If the Final Weights in relation to any Rebalancing Date are equal to the relevant Model Weights, then the Exposure of the Index to the FX Core Level will be scaled down, if necessary, in order to ensure that the individual weight caps of the Constituents are observed.
P.S. можно Вас попросить пересчитать цену опциона, чтобы еще перепроверить мои расчеты?
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timeasmymeasure
no subject
Date: 2013-12-18 12:40 pm (UTC)во-первых, индекс синтетический,
во-вторых, Volatility Control применяется к значению индекса, уже сконвертированному в рубли, и конвертация происходит по споту, а не по форварду:
The Index Calculation Agent shall use the most recently determined Final Weights to determine on each Index Business Day the aggregate performance of the Constituents expressed in terms of US dollars (the “Core Level”). In order to measure the aggregate performance of the Constituents expressed in terms of Russian Roubles (the “FX Core Level”), the Index Calculation Agent shall apply a foreign exchange conversion factor to the performance of the Core Level from the last Rebalancing Date (or Index Start Date, as the case may be) to such Index Business Day. This conversion factor on any Index Business Day is the spot rate for the exchange of Russian Roubles for US dollars (as set out in Part D (Data) below) as determined on such Index Business Day, divided by the spot rate on the Rebalancing Date (or the Core Index Start Date, as the case may be) immediately prior to such Index Business Day.
The Index features a volatility control mechanism, which scales the Exposure (as defined in the Index Conditions) of the Index to the FX Core Level up or down proportionately, in order to target an ex-ante annualized volatility level of 3.25 per cent., subject to an Exposure cap of 120 per cent. If the Final Weights in relation to any Rebalancing Date are equal to the relevant Model Weights, then the Exposure of the Index to the FX Core Level will be scaled down, if necessary, in order to ensure that the individual weight caps of the Constituents are observed.
P.S. можно Вас попросить пересчитать цену опциона, чтобы еще перепроверить мои расчеты?