Financial Toolkit : FX Target Redemption Note

Input
Notional1 First coupon rate in % Coupon Payment Freq
Scale factor Barrier Capped Cum Coupon in %
Time to maturity in yrs No of trials
FX spot2 FX volatility in %
Correlation matrix
Domestic ZC Foreign ZC FX spot
Domestic ZC
Foreign ZC
FX spot
Hull White Parameters
Domestic Ccy Foreign ccy
Alpha
Volatility in %
Interest Rate in %
Domestic Ccy Foreign ccy
Coupon rate after first coupon = max(scale factor * (FXSpot - barrier), 0).
It is assumed both the domestic and foreign currency have a flat initial zero curve.
1 Notional and coupon are in foreign currency.
2FX Spot is number of foreign currency to one domestic currency.