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Aug 13

Equity linked notes

Posted by abiao at 08:26 | Code » VBA/Excel | Comments(0) | Reads(10431)
An Equity-Linked Note (ELN) is a debt tool that differs from a normal fixed-income security due to the coupon is depend on the return of a single stock, basket of stocks or equity index. An ELN is a principal secured instrument Commonly configured to generate 100% of the original investment at due date, but differs from a standard fixed-coupon bond because its coupon is decided by the performance of the underlying equity.

This spreadsheet calculates the price and embedded option value of equity linked notes, together with other option, Robeco-Reverse convertible, for example.

http://www.ulb.ac.be/cours/solvay/farber/exceltips.htm
http://www.ulb.ac.be/cours/solvay/farber/VUB/08%20Lecture%202.xls
wiki(Equity linked note)


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