principal-protected-notes
CommunityStructured notes with risk-aware hedging.
Finance & Accounting#risk management#hedging#structured products#option pricing#principal protected notes#payoff decomposition
AuthorGhostOf0days
Version1.0.0
Installs0
System Documentation
What problem does it solve?
This Skill automates complex workflows for Principal Protected Notes (PPNs), ensuring transparent payoff decomposition, robust issuer-risk assessment, and accurate hedge diagnostics.
Core Features & Use Cases
- Payoff Decomposition: Breaks down PPN value into bond floor, option sleeve, fees, and funding components.
- Hedge Calibration: Analyzes delta, gamma, vega, and carry exposures.
- Risk Monitoring: Stresses issuer spread, volatility, and liquidity impacts.
- Use Case: When designing a new capital-protected product, use this Skill to decompose its value, calibrate its hedge, and stress-test its resilience against market shocks and issuer credit events.
Quick Start
Run the principal protected notes diagnostics script with the input file input.csv and save the output to diagnostics.json.
Dependency Matrix
Required Modules
pandasargparsejson
Components
scriptsreferences
💻 Claude Code Installation
Recommended: Let Claude install automatically. Simply copy and paste the text below to Claude Code.
Please help me install this Skill: Name: principal-protected-notes Download link: https://github.com/GhostOf0days/codex-quant-skills/archive/main.zip#principal-protected-notes Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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