Add training workflow, datasets, and runbook
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608 Part V: Index Options and Future;
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FIGURE 32-4.
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Comparison of adiusted and unadiusted cash values at maturity.
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50
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40
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20
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0 1100 2200 3300
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Cost of the
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Call Option
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4400 5500
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Index Final Price (Unadjusted)
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6600
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est. In this section, a couple of different constructs, ones that have been brought to
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the public marketplace in the past, are discussed.
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THE BUI.I. SPREAD
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Several structured products have represented a bull spread, in effect. In some cases,
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the structured product terms are stated just like those of a call spread in that the final
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cash value is defined with both a minimum and a maximum value. For example, it
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might be described something like this:
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"The final cash value of the (structured) product is equal to a minimum of a base
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price of 10, plus any appreciation of the underlying index above the striking price,
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subject to a maximum price of 20" (where the striking price is stated elsewhere).
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It's fairly simple to see how this resembles a bull spread: The worst you can do
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is to get back your $10, which is presumably the initial offering price, just as in any
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of the structured products described previously in this chapter. Then, above that,
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you'd get some appreciation of the index price above the stated striking price - again
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