Structured Note Valuation and Risk
Structured Note Valuation and Risk: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). You are given 750 daily log-returns for an underlying asset and parameters for a structured note. Build a complete pipeline that fits a GARCH(1,1) volatility model, decomposes the…
The task
You are given 750 daily log-returns for an underlying asset and parameters for a structured note. Build a complete pipeline that fits a GARCH(1,1) volatility model, decomposes the structured note into its component parts (zero-coupon bond + barrier option participation), computes fair value and breakeven volatility,…
Part of armin-aptura/skilltrainbench-public.