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Callable Geared Ratchet Inverse Floater


A hybrid derivative structure in which the coupon is determined as the difference between the previous coupon and a predefined reference strike, adjusted with an appropriate leverage percentage (gearing):

Coupon = gearing × (previous coupon – index)

The leverage level determines how aggressive the structure is: its dependency on the previous coupon is increased by a gearing on the previous coupon.

This structure is also known as a thunderball.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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