Principal retention options strategy computer support and method
First Claim
1. A computer-aided method of constructing a principal-protected investment indexed to a reference portfolio, the method including the steps of:
- entering into a computer a desired principal-protected amount, terms defining a reference portfolio call option indexed to performance of the reference portfolio, terms defining an index call option indexed to an underlying that is not being substantially similar to the reference portfolio, and terms defining an index put option indexed to the underlying; and
controlling said computer with a program to use said principal-protected amount and said terms to generate output including a combined cost of the three options substantially equal to the principal-protected amount, a combined expected payoff at expiration of the index call option and the index put option equal to the cost of the three options and a payoff at expiration of the reference portfolio call option substantially equal to increased value of the reference portfolio.
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Abstract
Machine, method, and manufacturer pertaining to a computer-aided constructing of a principal-protected investment indexed to a reference portfolio. The method can include the steps of: entering into a computer a desired principal-protected amount, terms defining a reference portfolio call option indexed to performance of the reference portfolio, terms defining an index call option and an index put option indexed to an underlying that is not being substantially similar to the reference portfolio; and controlling the computer with a program to use the principal-protected amount and the terms to generate output including a combined cost of the three options substantially equal to the principal-protected amount, a combined expected payoff at expiration of the index call option and the index put option equal to the cost of the three options and a payoff at expiration of the reference portfolio call option substantially equal to increased value of the reference portfolio.
31 Citations
58 Claims
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1. A computer-aided method of constructing a principal-protected investment indexed to a reference portfolio, the method including the steps of:
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entering into a computer a desired principal-protected amount, terms defining a reference portfolio call option indexed to performance of the reference portfolio, terms defining an index call option indexed to an underlying that is not being substantially similar to the reference portfolio, and terms defining an index put option indexed to the underlying; and
controlling said computer with a program to use said principal-protected amount and said terms to generate output including a combined cost of the three options substantially equal to the principal-protected amount, a combined expected payoff at expiration of the index call option and the index put option equal to the cost of the three options and a payoff at expiration of the reference portfolio call option substantially equal to increased value of the reference portfolio. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 55)
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28. A computer system constructing a principal-protected investment indexed to a reference portfolio, the system including:
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a system including a computer, an input device, an output device, and a program operating to direct the computer system to carry out the steps of;
entering into the computer a desired principal-protected amount, terms defining a reference portfolio call option indexed to performance of the reference portfolio, terms defining an index call option indexed to an underlying that is not being substantially similar to the reference portfolio, and terms defining an index put option indexed to the underlying; and
controlling said computer to use said principal-protected amount and said terms in generating output at the output device, the output including a combined cost of the three options substantially equal to the principal-protected amount, a combined expected payoff at expiration of the index call option and the index put option equal to the cost of the three options and a payoff at expiration of the reference portfolio call option substantially equal to increased value of the reference portfolio. - View Dependent Claims (29, 30, 31, 32, 33, 34, 35, 36, 37, 38, 39, 40, 41, 42, 43, 44, 45, 46, 47, 48, 49, 50, 51, 52, 53, 54, 56, 57)
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58. A computer program product having computer code stored thereon, which when run on a computer causes the computer to perform the steps of:
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enabling entering into the computer a desired principal-protected amount, terms defining a reference portfolio call option indexed to performance of the reference portfolio, terms defining an index call option indexed to an underlying that is not being substantially similar to the reference portfolio, and terms defining an index put option indexed to the underlying; and
controlling said computer with a program to use said principal-protected amount and said terms to generate output including a combined cost of the three options substantially equal to the principal-protected amount, a combined expected payoff at expiration of the index call option and the index put option equal to the cost of the three options and a payoff at expiration of the reference portfolio call option substantially equal to increased value of the reference portfolio.
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Specification