In this module, we describe the structuring process for an equity-linked, principal-protected note, along with its factor sensitivities. We additionally discuss some of the points you should raise when marketing an instrument of this kind to one of your customers, and the principal risks and benefits you should flag to the customer.
Finally, we try to familiarize you with the process by which you can reverse-engineer an instrument of this kind, and calculate its fair value under given market conditions.
target audience:DX1 Traders, risk managers, sales force, financial control and audit
prerequisite required:
– Bond Fundamentals
prerequisite recommended:
– FX Options
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