Here is the assignment, I have also uploaded the Excel file, please submit an Excel file to me with the answers of all the requirements below:
| Consider the below Equity Linked Note: | |
| Tenor | 1 Month + 2weeks |
| Trade Date | 03 Oct 2017 (Tue) |
| Issue Date | 03 Oct 2017 (Tue) |
| Final Valuation Date | 17 Nov 2107 (Fri) |
| Maturity Date | 17 Nov 2107 (Fri) |
| Denomination | USD 100K |
| Currecny | USD |
| Put Strike (K) | 93% |
| Underlying | Stock A (US stock) |
| Initial Spot – S(0) (the stock price at which the initial Delta is executed) |
USD 50.00 |
| Final Performance | Stock Price at Final Valuation Date / Initial Spot |
| Final Redemption at Maturity | If Final Performance >= K, 100% of Denomination |
| Othwise, Denomination / [K*S(0)] shares of Stock A | |
| Issuer/Distributor Margin | 0.30% |
| Market Parameters: | |
| Interest Rate (30/360) | 2.00% |
| Volatility of Stock A | 35% |
| Dividend rate (continuous, Act/365) | 3.50% |
| Repo rate (continuous, Act/365) | 3.00% |
| Market Parameters: | |
| Interest Rate (30/360) | 2.00% |
| Volatility of Stock A | 35% |
| Dividend rate (continuous, Act/365) | 3.50% |
| Repo rate (continuous, Act/365) | 3.00% |
Use Black-Scholes formula and Excel-VBA to calculate:
| 1) Issue Price in % of Denomination |
| 2) Delta in % of price |
| 3) Vega in % of price (for 1% vol change) |
| 4) Rho in % of price (for 1 basis point rate change) |
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