Structured Products by the Numbers: Zero-Coupon Floors, Capital-Protected Notes, Participation & Caps, Discount Certificates, Reverse Convertibles, Barriers, Worst-Of and Autocall Schedules

What you'll build

What you will be able to do

Each lab ends with a concrete result that you build yourself and the checker confirms, cell by cell.

• Price the zero-coupon floor of five fictional notes with 100/(1 + r)^T, subtract the issuer margin to get the option budget, turn it into money per 10,000 nominal and find the note with the most room for options.
• Spend a fictional 5-year option budget on a call, derive the participation rate, do the same with a capped call spread and compare both payoff tables to see where the cap starts to cost.
• Measure the discount and the maximum return of a fictional discount certificate, fill its payoff and return table against holding the share directly and chart both lines to see where each one is ahead.
• Settle a fictional reverse convertible at nine share prices: cash at or above the strike, whole shares plus cash for the fraction below it, add the coupon and chart the total against the share price.
• Read four fictional price paths for two shares, find the lowest closes, flag whether the barrier was touched, take the worse of the two final levels and settle a worst-of barrier reverse convertible on each path.
• Run a fictional 3-year autocallable note through five given scenario paths: find the observation at which each path ends, count the memory coupons, settle the final redemption and work out the average life.
• Rebuild the fair value of four fictional notes from given parts, find the embedded cost per year, measure how much of a note is paid for by the issuer's credit spread and work out the loss if an issuer defaults.
• Put a fictional capital-protected note, a discount certificate and a barrier reverse convertible next to the share and cash on the same eight given scenarios, summarise average, worst case and capital-loss paths and chart the grid.