The Market Mix GIC is a type of guaranteed investment certificate, of 3- or 5-year term, which offers a return based on a corresponding GIC rate and the performance of a basket of certain stock and bond market indices. To determine the rate of return, the percentage change in each index level from the initial level is calculated. Here the initial…[Read more]

A pricing model was developed for pricing a total return swap between two parties. Here party A receives LIBOR plus a spread, but pays out the equity dividends arising from a collateralized loan obligation (CLO).