Structured Products by the Numbers: Zero-Coupon Floors, Capital-Protected Notes, Participation & Caps, Discount Certificates, Reverse Convertibles, Barriers, Worst-Of and Autocall Schedules
Take structured products apart into bonds and options and see what each one really pays. You will price the zero-coupon floor, derive a participation rate, chart capped and discounted payoffs, settle reverse convertibles in cash or shares, test barriers and worst-of features on given price paths, run an autocall schedule and compare products across one scenario grid, with every cell checked as you go.
One-time payment · lifetime access · lessons, labs, exam and certificate included · no subscription.
About this course
This course takes structured products apart into a bond and options and rebuilds their payoffs in a spreadsheet, using fictional notes and issuers. You price the zero-coupon floor with 100/(1 + r)^T and the option budget, derive participation rates for capped and uncapped capital-protected notes, and fill payoff tables for discount certificates. You settle reverse convertibles in cash or whole shares plus cash for the fraction, flag barrier touches and worst-of levels on given price paths with MIN, and run an autocall schedule with memory coupons using MINIFS and MAXIFS. Finally you measure embedded costs and issuer default losses and compare three products on one scenario grid. Not investment advice.
Lessons
- Building Blocks: the Zero-Coupon Floor and the Option Budget Pro
- Capital-Protected Notes: Participation Rates and the Cap Trade-Off Pro
- Discount Certificates: Buying the Share Cheaper, Giving Up the Upside Pro
- Reverse Convertibles: Fixed Coupon, Cash or Shares at the Strike Pro
- Barriers and Worst-Of: Touched Flags on Given Price Paths Pro
- Autocall Schedules: Triggers, Coupon Barriers and Memory Coupons Pro
- Costs and Issuer Risk: Fair Value, Embedded Cost and Default Pro
- Capstone: Three Products, the Share and Cash on One Scenario Grid Pro