<t>The entire topic of Islamic Banking/Investing is quite interesting. There is a relaively large school of thought in the muslim world that believe that Islamic Banking is just a term given by the goverments/scholars to meet certain standards. Compared to conventional western banking systems, there...

Yes. That makes sense. Thanks.

Thanks for your reply. The CPPI was what I was looking for and that's a very good paper.

<t>Maybe an elementary question for this forum, but some fund of hedge funds are offering principal protection for 5-10 years on their funds.My question is: How can they be offering principal protection and simulatenously have the funds to invest it where they'd like to? Are they borrowing money fir...

<t>Put option or Call option? It's a 50% participating swap to hedge against price increases, so wouldn't the participating swap be 50% units of a long fixed price swap and 50% units long cap (Calls)?Here are the deatails:Underlying notional is for 10000 units. The Dec'04 - Mar'05 forward strip is @...

<t>Here's an actual quote by a dealer for a 50% Particpating Swap, a Cap and a Fixed Price Swap. The deal date would be November 4'04 and the expiry date is February 28 (~116 days). Fixed Price Swap: $9.41Cap: Strike $9.41 Premium $0.82650% Participating Swap: Cap @ $10.03Based on my calculations, t...

Thanks Aaron. Greatly appreciated.

I got the answer. Thanks Aaron.

Thank Aaron. Greatly appreciated. One last question:How would a "Particpating Swap" be priced? As in how would one determine the floor/cap and the level of participation.

<t>Two questions:With the three-way collars that you are suggesting and are more common, what would be the notionals on the caps/floors?Secondly, have you come across participating swaps? They seem quite popular with marketers in the commodity markets. They are set at a cap/floor price and with a ce...

<t>I wasn't considering the notionals. I think i get it now. The notionals on both floors add up to the cap notional. So it makes complete sense that you would be forced to buy some at the secondary floor and the rest at market. So just to confirm, if the market settlement was below the primary floo...

<t>Thanks for your reply.I made up the numbers on the caps and floors in the previous example without giving it too much thought. Here's a set of actual quotes for a 3-way collar: The constraint here is that the end user wants complete upside protection so we can't sell a higher cap.Buy Cap: 57.50Se...

<t>Could someone confirm how a 3-way collar would work for an end user. Essentially, it's a costless collar (buy cap, sell primary floor) but with a secondary floor in between. The only difference between the simple collar and a 3-way seems to be that by selling another floor at a slightly higher pr...

I have used Crystal Ball's OptQuest and I belive it is quite similar to @Risk Optimizer. It's a good product but Iterations take a long time to run.

<t>I've had this discussion before on this forum but the difference between the r squares when using price and when using returns are so different that I thought it necessary to bring it up again. The attached charts are a scatter plot of the AMEX Oil Index and NYMEX prompt Crude contract. I get a v...