Rank correlation is the study of relationships between different rankings on the same set of items. A rank correlation coefficient measures the correspondence between two rankings and assesses its significance. Two of the most popular rank correlation statistics are Kendall’s tau and Spearman’s rho.

Due to seasonality effects in the futures price dynamics, standard principal component (PC) analysis will introduce season-averaging effects that distort the analysis results. To get around this, we proceed as earlier and split the data into different t-buckets, with a separate PC analysis performed for daily increments in each bucket.

The equity GIC product has the property that strike levels are the closing index levels on date of issue. The proposed specification for pooling employs poolidents with the same maturity, issue date, and index levels.

We present analytics for pricing quanto European-style Himalayan options on equity (stock or index), where the single best return is locked in each fixing period. Specifically, we considered the impact of the quanto adjustment term on calibration and the computation of option premium and hedge ratios.