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Equity-Linked Bonus Coupon Note

Economics (Finance)

Tim Xiao

Date of upload:

01.08.2021

Co-author:

Abstract:

A bonus coupon note, also referred to as coupon growth note or bonus enhanced note or basket coupon note, is an equity-linked note that provides guaranteed coupons over the life of the note with potential for a bonus coupon based on the underlying asset trading above a specified barrier level. The note pays a series of coupons based on the weighted performance of all assets in the basket on each Coupon Determination Date. The coupons are usually capped and floored.

Warrant Pricing

Economics (Finance)

Tim Xiao

Date of upload:

18.04.2021

Co-author:

Abstract:

An equity warrant is an option on the equity of a firm issued by the same firm, which gives the holder the right to purchase shares at a fixed price from the firm at a future date. When a warrant is exercised, the firm typically issues new shares at the exercise price to fill the order. The resulting increase in shares outstanding dilutes the share value.

Basis Curve

Economics (Finance)

Tim Xiao

Date of upload:

21.09.2021

Co-author:

Abstract:

The term structure of an interest rate basis curve is defined as the relationship between the basis zero rate and it’s maturity. Basis curves are used as the forecast curves for pricing interest rate products. The increase in basis spreads has resulted in large impacts on non-standard instruments.

Treasury Benchmark Curve

Economics (Finance)

Tim Xiao

Date of upload:

25.09.2021

Co-author:

Abstract:

Treasury curve or treasury benchmark curve is the term structures of treasury bill/bond prices vs maturities. The two major types of marketable securities issued by government are treasury bills and treasury bonds.

Cap Volatility Data

Economics (Finance)

Tim Xiao

Date of upload:

24.09.2021

Co-author:

Abstract:

In cap market, a cap/floor is quoted by implied volatilities but not prices. An interest rate cap volatility surface is a three-dimensional plot of the implied volatility of a cap as a function of strike and maturity.

Forward Inflation Curve

Economics (Finance)

Tim Xiao

Date of upload:

25.09.2021

Co-author:

Abstract:

Inflation curve or inflation forward curve is also called Consumer Price Index (CPI) curve that is the term structures of CPI rates is defined as the relationship between CPI and different terms. The popular indices are Euro HICPxT, UK RPI, and US CPI.

SIFMA Basis Curve

Economics (Finance)

Tim Xiao

Date of upload:

26.09.2021

Co-author:

Abstract:

SIFMA (Securities Industry and Financial Markets Association) is a trading organization in US. The SIFMA Municipal Swap Index, formerly the Bond Market Association Index, is a market index composed of tax-exempt variable rate demand obligations (VRDOs). VRDOs are municipal bonds with floating interest rates. The SIFMA index is issued weekly.

Credit Spread Curve

Economics (Finance)

Tim Xiao

Date of upload:

28.09.2021

Co-author:

Abstract:

There is only one base interest rate per currency, corresponding to the bank’s unsecured lending/borrowing rate (such as LIBOR). The interest rate used to discount cashflows may include a credit spread above or below the base rate.

FX Volatility Data

Economics (Finance)

Tim Xiao

Date of upload:

24.09.2021

Co-author:

Abstract:

An implied volatility is the volatility implied by the market price of an option based on the Black-Scholes option pricing model. A volatility surface is derived from quoted volatilities that provides a way to interpolate an implied volatility at any strike and maturity.

Pricing Shout Cap and Floor

Economics (Finance)

Tim Xiao

Date of upload:

14.03.2023

Co-author:

Abstract:

A European shout floor is similar to a shout cap. The shout floor is an option giving the holder the right to “shout” a European put strike level at spot at any time during the option tenor. That is, the holder receives an at-the-money European put when they shout. If they do not shout at any time during the option tenor the holder receives a European put struck at the initial strike level. This instrument provides a protective floor on losses in long positions without requiring additional payments

Commodity Asian Swap Valuation

Economics (Finance)

Tim Xiao

Date of upload:

13.03.2023

Co-author:

Abstract:

The commodities swaps are based on crude and refined oil products and these swaps are typically Asian commodity-price swaps. A typical deal where one party pays fixed and receives floating is specified as follows:

Commodity Seasonality Adjustment

Economics (Finance)

Tim Xiao

Date of upload:

13.11.2022

Co-author:

Abstract:

Due to seasonality effects in the futures price dynamics, standard principal component (PC) analysis will introduce season-averaging effects that distort the analysis results. To get around this, we proceed as earlier and split the data into different t-buckets, with a separate PC analysis performed for daily increments in each bucket.

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