Deriscope

The Excel Derivatives Periscope

Coverage

Structured_Note

Structured Note is a child type of Tradable that represents a financial contract that pays its holder on a specified payment date T a payoff amount A that is a function of K variables x¹, x², ..., xᴷ that are observed at a perhaps earlier time T*
Formally:
A = ƒ(x¹,x²,...,xᴷ)
where ƒ is a specified real valued function of K real variables and the K numbers x¹, x², ..., xᴷ are associated with K specified underlyings U¹, U², ..., Uᴷ as follows:
Uⁱ is allowed to be either a
Tradable or a Quotable
If Uⁱ is a Tradable, then xⁱ equals its price that is calculated as of T* expressed in units of the common currency specified in
Key Structured Note::Payoff Ccy
If Uⁱ is a Quotable, then xⁱ equals its value as of T*
The thus calculated amount A is paid at T in units of a specified currency.