B
Barrier Reverse Convertible
Structuring & Valuation Desk · Single Asset
UBSG.SW
Reiner–Rubinstein down-and-in put
Structure a Product
Value a Product
Parameters
Offered Coupon (after margin)
–
% p.a.
paid annually ·
–
% total over term
Strike
–
Barrier
–
Coupon (gross)
–
%
Payoff at Maturity
Barrier touched
Barrier intact
Decomposition
Parameters
↻ coupon from structuring
Fair Value
–
%
–
CHF on
–
nominal
Bond floor
–
PV coupons
–
Short put
–
Fair Value Composition
Bond floor + PV coupons − short put
Detail