Autocall Schedules: Triggers, Coupon Barriers and Memory Coupons
This lesson is part of the course
In this lesson
You 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.
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Lessons in this course
- Building Blocks: the Zero-Coupon Floor and the Option Budget Locked
- Capital-Protected Notes: Participation Rates and the Cap Trade-Off Locked
- Discount Certificates: Buying the Share Cheaper, Giving Up the Upside Locked
- Reverse Convertibles: Fixed Coupon, Cash or Shares at the Strike Locked
- Barriers and Worst-Of: Touched Flags on Given Price Paths Locked
- Autocall Schedules: Triggers, Coupon Barriers and Memory Coupons Locked
- Costs and Issuer Risk: Fair Value, Embedded Cost and Default Locked
- Capstone: Three Products, the Share and Cash on One Scenario Grid Locked