Module structured
Expand description
A structured note: a leg of composed coupons and the face it redeems.
The coupon layer composes every observation — IBOR, overnight, CMS and a spread of two CMS rates — with every payoff, collars and digitals, and range accruals besides. A note paying such a leg is that leg plus its face at maturity, built from arbitrary cashflows: a CMS 10Y − 2Y steepener floored at zero, a capped floater, a digital note. There is no coupon-type switch; what the leg composes, the note pays.
Structs§
- Structured
Note - A note paying a received leg of composed coupons and redeeming its face on the last payment date, discounted on its collateral.
Enums§
- Structured
Note Error - Why a structured note could not be built.