Published May 10, 2022
| Version v1
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Principal Protected Note Analytics
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Description
A principal protected deposit note consists of zero plus call option and linear amortizing bond floor structure. these models are essentially accrual models, determining the current value of the option due to fee accrual and historical hedge fund performance in accordance with the documentation.
Notes
https://osf.io/preprints/socarxiv/qmh9c/download
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zenodo-pp-note.pdf
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