| 摘要 |
In at least one aspect, the invention comprises a method for replicating a first index, comprising: constructing a basket of derivative financial instruments selected to replicate said index; wherein said basket of derivative financial instruments is constructed using key rate duration matching based on a plurality of instruments, and wherein said basket is reconstructed on a periodic basis approximately equal to that on which said index is reconstructed. In another aspect, the invention comprises a method for replicating a portfolio of securities, comprising: constructing a basket of derivative financial instruments selected to replicate said portfolio; wherein said basket of derivative financial instruments is constructed using key rate duration matching based on a plurality of instruments, and wherein said basket is reconstructed on a periodic basis approximately equal to that on which said portfolio is reconstructed.
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