Assignment 6

Assignment 6 - Assignment 6 Johnson Graduate School of...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
Johnson Graduate School of Management Equity Derivatives and Related Products Due on November 9, 2010 Professor Mark Zurack Question 1 An Equity Linked Note is being offered with the following terms: Cost (Notional) - $100 Maturity – 6 years Coupon – 0 Index on Trade Date – 100 Payoff at Maturity = If index closes below 100, 100, otherwise 100 plus Index Return times Participation Rate times 100 Participation Rate – 100% Index Return = (Index at Maturity / Index on Trade Date) - 1 For each $100 invested in the note, please answer the questions below assuming that the issuer’s 6 year financing rate is 5% (on an annually compounded basis); and the a) How much money is needed (per $100) by the issuer’s Treasury desk to provide principal protection? b) How much money was left to buy options assuming a Commission of 0.5% of Notional? c)
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.
  • '06
  • ZURACK,MARK
  • Johnson Graduate School of Management Equity Derivatives, Professor Mark Zurack, delta Implied Volatility, Underlyer XYZ Corp

{[ snackBarMessage ]}

Page1 / 2

Assignment 6 - Assignment 6 Johnson Graduate School of...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online