help Need to Price Index

[Naeem]

Could you please find the attachment problem and some solution to the problem
this problem is about pricing six year equity linked Note

 

[rnick]

what exactly are you trying to solve?

product can be decomposed in 6 digital calls conditioned on the individual index performance and 1 call at maturity. funding cost money market account + geared call (because it is less than 100%)

 

[Naeem]

what exactly are you trying to solve?

product can be decomposed in 6 digital calls conditioned on the individual index performance and 1 call at maturity. funding cost money market account + geared call (because it is less than 100%)

Thanks for your response... Actually i am looking for some Matlab or VBA code for Simulation of Index prices(Black sholes model) with stochastic interest rate (Vasicek model) looking for your kind response

 

[rnick]

i attach a simple monte carlo engine in c++ and matlab code. to my understanding, the assignment asks u to price the structure with MC not close form ( i guess you could use it to double check your pricing). use the engine to price the derivatives and implement the interest rate SDE you want to use instead of the constant interest rates. change the payout accordingly. For pricing the 7 year zero coupon bond, most probably you do not need the SDE but it is up to you.

 

[Naeem]

Thank you very much for your help

 

[Naeem]

thanks you very much for help