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structured-products

Decompose structured notes into bond and option components and price each payoff.

10|2|Updated Mar 14, 2026
Search Tags:#pricing#derivatives#risk-management#options#hedging#structured-products
One-click install
npx skills add https://github.com/brainbytes-dev/everything-claude-trading --skill structured-products
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: structured-products
Source: https://github.com/brainbytes-dev/everything-claude-trading/tree/main/skills/derivatives/structured-products
Command: npx skills add https://github.com/brainbytes-dev/everything-claude-trading --skill structured-products

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Structured products are complex, path-dependent investments; this skill helps finance professionals decompose and price autocallables, reverse convertibles, and capital-protected notes by breaking them into vanilla components.

Core Features & Use Cases

  • Decomposition into bonds and options for pricing and risk analysis
  • Pricing across barriers, coupons, and multi-asset payoffs with appropriate models
  • Risk assessment including issuer credit, liquidity, and hedging implications
  • Use Case: Evaluate a 3-year autocallable on a basket of equities with a knock-in barrier and report the price, risk measures, and hedge recommendations

Quick Start

Decompose a structured product into its bond and option components and price the overall payoff for a given scenario

Frequently Asked Questions about structured-products

High-intent search queries and answers about installing and using this skill.

FAQPage Schema
How do I price an autocallable structured note with a knock-in barrier?▼

To price an autocallable structured note, decompose it into a bond plus barrier options, then value each component using forward curves and volatility surfaces to derive the overall payoff and risk measures.

What is the best way to decompose a reverse convertible into vanilla components for risk analysis?▼

Decomposing a reverse convertible involves separating it into a fixed-income bond and a short put option, allowing you to price each vanilla component independently and aggregate the results for total exposure.

Can I stress-test a capital-protected note across multi-asset basket scenarios?▼

Yes, you can stress-test a capital-protected note by applying correlation shifts and volatility surface adjustments across multi-asset basket scenarios to evaluate path-dependent payoffs and hedging implications.

What inputs do I need to price structured products accurately?▼

Pricing structured products requires forward curves, volatility surfaces, asset correlations, interest rates, and issuer credit spreads to satisfy valuation models and regulatory risk-management requirements.

Does pricing structured notes account for issuer credit risk and liquidity?▼

Pricing structured notes incorporates issuer credit spreads and liquidity considerations into the valuation, ensuring risk assessment reflects both market exposure and issuer default probability.

How do I hedge a multi-asset structured product after pricing it?▼

Hedging a multi-asset structured product requires calculating option Greeks from the decomposed vanilla components and executing offsetting trades based on stress-test results and barrier levels.

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