Principal Protected Notes

objective

Execute principal-protected note workflows with transparent payoff decomposition, hedge diagnostics, and robust control gates.

workflow

1. define payoff terms, participation, barriers, maturity, and protection constraints.
2. decompose note value into bond floor, option sleeve, fees, and funding spread components.
3. calibrate option assumptions and hedge exposures across delta, gamma, vega, and carry.
4. stress issuer spread, volatility shocks, and liquidity slippage on projected outcomes.
5. release only when payout logic, pricing error, and hedge risk pass control limits.

required diagnostics

• bond-floor and option-cost decomposition consistency.
• participation-rate sensitivity to volatility and funding assumptions.
• greek exposure concentration and hedge slippage behavior.
• issuer-spread widening impact on note value and protection quality.
• payout replication error across stressed paths.