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A principal protected deposit note consists of zero plus call option and linear amortizing bond floor structure. these models are essentially accrual models, determining the current value of the option due to fee accrual and historical hedge fund performance in accordance with the documentation.
https://osf.io/preprints/socarxiv/qmh9c/download
principal protected note, Zero Plus Call, linear amortizing bond floor structure
principal protected note, Zero Plus Call, linear amortizing bond floor structure
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