SnowBall & TARN

Posted by Marco Ottolino on
URL: http://quantlib.414.s1.nabble.com/SnowBall-TARN-tp3854.html

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