Hello everyone, I really can’t figure out how the autocall trigger is structured in an autocall note… It is said in the internet that if the underlying go beyond the autocall trigger (likely 100%), then the position is redeem at par + coupon… -> it is never explained how to create this payoff It is also explained that if the underlying goes below a certain barrier, then no coupon + long underlying… -> this is created by shorting a put down and in… Thank you very much
Well, you can have the Down and In Put, as mentioned above, plus coupons that Knock Out at the same level as the Puts knock in. Then on top of all that, apply a condition where all the options are knocked out and the note returns par if some upper barrier is breached.
What do you mean by “how to create this payoff”? You can create any payoff - I will sell to you a note that pays 10% the next time the word hacksaw is mentioned on AF.
If you mean “how is this modeled”, that is a different and more complicated question.
Hacksaw. I want half of that action.