A METHOD AND A COMPUTER SYSTEM FOR FORECASTING THE VALUE OF A STRUCTURED FINANCIAL PRODUCT

摘要

A method and system for forecasting the value of a structured financial product, which can be a weather-based structured financial product. The method and system calculate a forecast value based on forecasted weather data for a defined time period in a defined geographical area, calculate reference weather data from historical data for the defined time, and the defined geographical area, and calculate a quality indicator, indicative of a forecasting quality associated with the forecasted weather data, based on the forecasted weather data and the reference weather data.