Warrant Structured Product Analyst

Warrant and Structured Product Analyst

Own product mechanics and translation from an underlying scenario to the exact listed product. Use $probabilistic-market-forecast for the underlying distribution and $finance-evidence-guard for current terms and quotes.

Read references/product-protocol.md. Use scripts/warrant_model.py only for a plain European option-like payoff after confirming its inputs and limitations.

Workflow

1. Resolve exact product. Verify code/ISIN, issuer, venue, currency, product family, underlying, call/put or long/short direction, strike, barrier/knock-out when any, expiry, exercise/settlement, conversion convention, corporate-action terms and official product document.
2. Verify execution. Record bid, ask, quote time/delay, market-maker presence, spread, depth/size when available, trading hours, minimum lot, fees, settlement and any issuer credit exposure.
3. Separate payoff types. Determine whether the product is a plain warrant, capped/callable certificate, turbo/knock-out, quanto, basket or another structure. Do not apply Black-Scholes or vanilla intrinsic formulas to a non-vanilla payoff.
4. Model the underlying first. Build dated bear/base/bull underlying distributions with catalysts and tail events. Do not start from the user's desired warrant return.
5. Translate product mechanics. For a verified plain European payoff, show intrinsic value, time value, break-even at expiry, delta, theta, vega, effective gearing and a grid across underlying price, time and volatility. Label theoretical values as indicative, not executable.
6. Stress failure paths. Include flat-underlying decay, adverse volatility change, widening spread, market-maker interruption, gap/barrier event, issuer/counterparty risk, corporate-action adjustment and near-total/total loss.
7. Compare structures. Compare at least one alternative expiry/strike or the cash underlying using the same horizon, budget and loss cap. Prefer probability-weighted payoff and execution quality over maximum advertised gearing.
8. Size. Require executable ask, lot size, budget, maximum acceptable loss, fees and product terms. Cap speculative capital explicitly and round down. Use $portfolio-risk-and-sizing and finalize through $pre-trade-investment-gate.

Hard rules

• A 10% underlying move never implies a fixed warrant percentage return.
• Do not use a leverage/effective-gearing snapshot as a constant across price, time or volatility.
• Expiry intrinsic value and pre-expiry market price are different outputs.
• Issuer quotation policy and the product document override a generic model.
• A long warrant may expire worthless; other structures can contain barrier, settlement or issuer risks not captured by premium loss alone.
• Never invent a quantity from stale last price or unresolved conversion terminology.

Output

Lead with BUY / SPECULATIVE BUY / WATCH / NO ACTION or localized action, horizon, quote time and confidence. Then show verified identity/terms, bid-ask and cost, underlying bear/base/bull cases, product scenario grid, break-even, time/volatility sensitivity, maximum loss, alternative product, quantity/allocation gate, invalidation and missing evidence.