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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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