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FTSE100 Cash Price 7000 Term of note (in years) 5 Appropriate discount rate (or Int Rate) 2.5% Exercise price of call option 7000 Price of

FTSE100 Cash Price 7000
Term of note (in years) 5
Appropriate discount rate (or Int Rate) 2.5%
Exercise price of call option 7000
Price of 5y Call option 14%
Bank fee 1.0%
Value per point FTSE 10
Original investment 100,000,000
5y discount factor
Implied cost of 5Y Zero
less Bank Fee
Option money available
Cost of one FTSE call option
Number of call options purchased
Total notional value of options leg
Participation rate

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