Snowball structures
are bonds linked to the evolution of euribor rate. A typical example is a
structure that pays:
x rate % (es: 6%)
for the first year and then each year
previous
coupon + y fixed rate (es: 2%) - euribor 6m.
Tarn means "Target
redemption note", there are several kind of payoff but all of
them are characterized by redemption that occurs when sum of paid coupons
reaches a fixed target rate (es: 25%).
During the last
Fixed Income Conference in Prague Piterbarg did an interesting presentation
about this kind of prod.
marco
ottolino
Locked
