2) Construct a protective note, assuming the following: (30 points] a) Investment horizon is 3 years. b) 3-year interest rate is 3%. c) initial investment is $1000. d) Underlying asset volatility is 15%. 2) Construct a protective note, assuming the following: (30 points] a) Investment horizon is 3 years. b) 3-year interest rate is 3%. c) initial investment is $1000. d) Underlying asset volatility is 15%