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Initial S&P 500 price, S0

Structured exercise price, X


Risk-free interest rate for 5 years, r
Time to maturity, T
Volatility of S&P 500, SP
Participation rate
Strutured components, value today
Bond paying $1000 at maturity
Participation rate /S0*at-the-money call on S&P 500
Value of structured security today

1,000
1,000
5.00%
5
25%
50%

778.80 EXP(-B3*B4)*1000
#VALUE! 1000*B6/B1*BSCall(B1,B2,B4,B3,B5)
#VALUE! SUM(B9:B10)

B1,B2,B4,B3,B5)

Initial S&P 500 price, S0

1,000
1,000
1,100
5.00%
5

X1
X2
Risk-free interest rate for 5 years, r
Time to maturity, T
Volatility of S&P 500, SP

25%
50%

Participation rate
Strutured components, value today
Bond paying X1 at maturity
Put option written
Call option purchased

0.00 EXP(-B3*B4)*1000
#VALUE! <-bsput(B1,B2,B5,B4,B6)
#VALUE! BSCall(B1,B3,B5,B4,B6)

Value of structured security today

#VALUE!

k
pr

110
1%

10
20
30
40
50
60
70
80
90
100
110
120
130
140
150
160
170
180
190
200

put option call option pay off


100
0
100
90
0
90
80
0
80
70
0
70
60
0
60
50
0
50
40
0
40
30
0
30
20
0
20
10
0
10
0
0
0
0
10
10
0
20
20
0
30
30
0
40
40
0
50
50
0
60
60
0
70
70
0
80
80
0
90
90

-160%
-140%
-120%
-100%
-80%
-60%
-40%
-20%
0%
20%
40%
40%
40%
40%
40%
40%
40%
40%
40%
40%

0%
0%
0%
0%
0%
0%
0%
0%
0%
20%
40%
40%
40%
40%
40%
40%
40%
40%
40%
40%

Payof
45%
40%
35%
30%
25%
20%
15%
10%
5%
0%
0

10

15

20

25

150
40%
140
40%
120
40%
110
40%
105 40%-200%P100 40%-200%P95
40% 90
40% 80
40% -

40%
40%
40%
40%

200%PR
200%PR
200%PR

40% 40% *(110-95)


*(110-90)
*(110-80)

10%
20%
40% 40% 40% -

30%
20%
30%
10%
40%
0%
60% Capital

Protection