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What is an PGN? There is a bullish spread PGN with the following terms: Risk-free interest rate at 1.3%, principal-guarantee rate at 98%, maturity 2

What is an PGN? There is a bullish spread PGN with the following terms: Risk-free interest rate at 1.3%, principal-guarantee rate at 98%, maturity 2 years. The underlying asset is TAIEX and its current level is 12000, strike prices of calls at 12,000 and 15,000 are worth $1500 and $530, respectively. Compute the participation rate between the price range (12000, 15000).

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