Bowmain Consulting

Part of Project Denning


This page documents simple structures supported by Wilberforce. No additional models are required within Hobhouse.

Daily Accumulator


The purchaser has the right to purchase underlying for price K, provided the underlying does not rise to value K2 > K. If the underlying rises to K2, the options ceases to exist.


The instrument is implemented as a series of long knock-out American digital calls and short American digital puts; one for each day in the maturity period. All the calls and puts have the same strike K and barrier K2.

Range Note


The purchaser of a range note with strike K receives a fixed amount every day that the underlying is above the strike K at some fixed time, typically COB.


The instrument is modelled as a series of European Digital options; one of each day in the maturity period, strike K.

Copyright Bowmain Ltd (c) 2005 .