AgentSkillsCN

principal-protected-notes

适用于结构化收益分解、参与度设计以及发行人风险意识对冲的本金保护票据工作流。当任务涉及本金保护结构、嵌入式期权包装、资金假设、客户收益设计，或对资本保护产品的生产风险进行监控时，可选用此类工作流。

SKILL.md
--- frontmatter
name: principal-protected-notes
description: "Principal Protected Notes workflows for structured payoff decomposition, participation design, and issuer-risk-aware hedging. use when tasks involve principal-protected structures, embedded option packaging, funding assumptions, client payoff design, or production risk monitoring for capital-protected products."

Principal Protected Notes

objective

Execute principal-protected note workflows with transparent payoff decomposition, hedge diagnostics, and robust control gates.

workflow

  1. •define payoff terms, participation, barriers, maturity, and protection constraints.
  2. •decompose note value into bond floor, option sleeve, fees, and funding spread components.
  3. •calibrate option assumptions and hedge exposures across delta, gamma, vega, and carry.
  4. •stress issuer spread, volatility shocks, and liquidity slippage on projected outcomes.
  5. •release only when payout logic, pricing error, and hedge risk pass control limits.

required diagnostics

  • •bond-floor and option-cost decomposition consistency.
  • •participation-rate sensitivity to volatility and funding assumptions.
  • •greek exposure concentration and hedge slippage behavior.
  • •issuer-spread widening impact on note value and protection quality.
  • •payout replication error across stressed paths.

risk controls

  • •enforce pricing-error and hedge-slippage hard thresholds.
  • •enforce issuer concentration and spread-sensitivity limits.
  • •enforce fallback assumptions for illiquid strikes and tenors.

outputs

  • •run python scripts/principal_protected_notes_diagnostics.py input.csv --output diagnostics.json and keep the json artifact.
  • •write an implementation memo using references/principal-protected-notes-playbook.md with assumptions, tests, limits, and rollout plan.

resources

  • •use scripts/principal_protected_notes_diagnostics.py for deterministic diagnostics.
  • •use references/principal-protected-notes-playbook.md for the domain checklist and delivery structure.