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how to decompose this structured product to pricing and hedging?
Posted: October 9th, 2003, 1:23 pm
by clement14
this is a principal-guarantee product.terms:1)5 years2)issue price=$1003)the lowest principal-guarantee rate=104.75%4)linked target is 180-day commercial paper rate(CP180 rate)5)reference rate of linked target is 1%6)paymentsthe 1st year¡G4.75%p.a.the 2nd year¡GMax(5%-2*CP180,0) p.a.the 3rd year¡GMax(5%-2*CP180,0) p.a.the 4th year¡GMax(5%-2*CP180,0) p.a.the 5th year¡GMax(5%-2*CP180,0) p.a.7)style of payments is semiannualhow could I decompose this structured product to pricing and hedging?
how to decompose this structured product to pricing and hedging?
Posted: October 9th, 2003, 1:29 pm
by clement14
how to decompose this structured product to pricing and hedging?
Posted: October 10th, 2003, 1:48 pm
by clement14
could anyone give me some hints? thanks for your kindness!does it use capped options to decompose?
how to decompose this structured product to pricing and hedging?
Posted: October 31st, 2003, 10:31 am
by derivababy
Hi Clement14,To start with perhaps you should try to learn how an inverse floater is structured.A good book for that is "Structured products and....." by Das (Wiley edit.).Hope this helps
how to decompose this structured product to pricing and hedging?
Posted: October 31st, 2003, 11:06 am
by BeautifulMind
Just a quote, one of my favourite posts... 2nd message...