Bespoke structuring desk: RFQ to term sheet

Why

A client tells a desk what they think the market will do and how much they can afford to lose. Turning that into a product they can actually buy, priced honestly with the worst case shown up front, is slow manual work on most desks.

Plain English For engineers

How

A workflow that reads the request, builds candidate structures out of simple option legs, prices each one with the full picture of its risks, and screens it against what the client can bear before anything is pitched. The output is the term sheet and the one-page factsheet a desk would send.

RFQ parsed into a stated market view and risk budget; candidate structures (participation notes, autocallables, collars) assembled from vanilla legs across equity and USDINR underlyings. Monte Carlo pricing with delta, gamma, vega and theta; risk-profile screening that surfaces the worst realistic outcome first; term sheet and factsheet generation into an Excel and VBA desk front-end with payoff backtests.

What came out

Nothing to report yet. Trains stop here from the opening date.

What broke

Nothing has broken yet, which is not the same as nothing having been tested.

Mind the gap

Being built now. There is no repository to show yet; this station opens when there is.