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Creating a structured product

Soumya Sahoo

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A portfolio contains equally weighted stocks (Alphabet, Boeing, Cummins and Dow Chemical) with a nominal of 100mil. The required performance is as follows.

Avg underlying fund performance:
>160% - No profit no loss
130 to 160% - flat 60% profit
100 to 130% - 2x of the long performanc
60 to 100% - 0.5x of short performance
<60% - actual loss

I have made a payoff diagram.
Capture.JPG

1. What instruments would a structured product contain to accommodate the above required portfolio performance?
2. How to calculate the delta and vega profiles of the created structured product to assess the risk?

How can I approach the above two questions? Could you please help?
 
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