Building Blocks: the Zero-Coupon Floor and the Option Budget
This lesson is part of the course
In this lesson
You 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.
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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