Describe, search, value, analyse and process notes, options, and swaps with the following features:
- single or multiple underlying(s)
- asset or basket underlyings
- payments based on the absolute levels or the performance of the underlying(s), measured either from inception or periodically
- payments based on a ranking of the underlyings' performance (e.g., best of, worst of, rainbow) and the elimination of underlyings (e.g., Himalaya, Everest)
- quanto
- firm or conditional coupons, memory effect
- various coupon calculation methods, including fixed rate, LIBOR and CMS rate references, spreads, caps, floors, complex formulas with combinations of underlyings of any type, range accruals, ratchets, snowballs and TARNs (i.e., autocall condition based on cumulative coupons, optional cap and floor on cumulative coupons)
- issuer calls and investor puts
- autocalls
- barriers (continuous, periodic, final)
- payments based on aggregation functions (e.g., average maximum, minimum, sum) of underlying levels or performance across dates
- conditions and payments based on user-defined formulas
- payments based on trading strategies (e.g., CPPI)
- cash flows derived from that of other contracts
- principal amortisation
- cash settlement, physical delivery, or combination of cash settlement and physical delivery
