Looking at a structured product like this, if we were trying to break it down to its components for valuation would you say that the contingent coupons are “long binary call options” since they pay a fixed amount if the underlying is above a certain level? Else what would you equate them to?
"This note can be viewed as a combination of a zero-coupon note from Barclays, a series
of contingent coupon payments, and a short put option on the reference asset. For reasonable
valuation inputs this note was worth $985.28 per $1,000 face value when it was
issued on January 3, 2013, including $993.72 for the present value of the zero-coupon
note, ($84.94) for the short put options, and $76.50 for the present value of all future
contingent coupon payments."
They break it down on a high level like this. What specific questions do you have?
The valuation is a complex function of the options mentioned above, and a process that determines the leg values subject to callability.