Analyze periodic returns, local caps, and global limits. See pricing, payoff, and credited path details. Export reports, compare inputs, and understand structure behavior quickly.
Large screens use three columns, smaller screens use two, and mobile uses one.
This calculator prices the coupon option leg of a cliquet structure with Monte Carlo simulation under geometric Brownian motion.
Path evolution: S(t+Δt) = S(t) × exp((r - q - 0.5σ²)Δt + σ√Δt Z)
Periodic raw return: Rᵢ = Sᵢ / Sᵢ₋₁ - 1
Credited reset return: Cᵢ = min(Local Cap, max(Local Floor, Rᵢ))
Aggregate rate before global limits: A = Guaranteed Coupon + Participation × ΣCᵢ
Bounded rate: B = min(Global Cap, max(Global Floor, A))
Coupon option payoff: Payoff = Notional × max(B, 0)
Present value: Price = e^(-rT) × average simulated payoff
This setup is suitable for capped and floored reset coupons. It does not include separate bond principal repayment or issuer credit adjustments.
This sample configuration gives you a realistic monthly reset scenario for testing the calculator.
| Input | Example value | Meaning |
|---|---|---|
| Initial spot price | 100 | Starting underlying level. |
| Risk-free rate | 4% | Annual discounting rate. |
| Dividend yield | 1% | Annual carry adjustment. |
| Volatility | 22% | Annualized return dispersion. |
| Maturity | 1 year | Total contract term. |
| Reset periods | 12 | Monthly reset structure. |
| Participation | 100% | Full exposure to credited returns. |
| Local floor / cap | 0% / 3% | Per-period credited return limits. |
| Global floor / cap | 0% / 24% | Total coupon bounds. |
| Guaranteed coupon | 0% | Base coupon added before global limits. |
| Notional | 100,000 | Coupon payoff base amount. |
| Paths | 5,000 | Simulation sample size. |
A cliquet option resets periodically. Each reset locks a capped and floored return, then the contract aggregates those credited returns into a final coupon or payoff.
Monte Carlo handles path-dependent features naturally. It is useful when local caps, local floors, guaranteed coupons, and global limits interact in ways that make simple closed-form pricing less practical.
The local cap limits each reset return. A very strong period cannot contribute more than the cap, which reduces upside but also makes the coupon path smoother.
The local floor limits downside for each reset. If a raw period return falls below the floor, the credited return is raised to that floor for aggregation.
Local limits apply to every reset separately. Global limits apply once, after all credited returns and any guaranteed coupon have been combined into one total rate.
No. This calculator prices the coupon option leg only. A principal-protected note would also require a bond component and possibly issuer credit adjustments.
Monte Carlo uses random sampling. Small differences are normal. Increase the number of paths or enter a fixed random seed to make the run more stable and reproducible.
It gives a simulation uncertainty band around the estimated present value. Narrower intervals usually mean the run used enough paths and produced a more stable estimate.
Important Note: All the Calculators listed in this site are for educational purpose only and we do not guarentee the accuracy of results. Please do consult with other sources as well.