8/14/2019 S0108

1/8

8/14/2019 S0108

2/8

-

8/14/2019 S0108

3/8

8/14/2019 S0108

4/8

-

-

-

8/14/2019 S0108

5/8

-

-

0

0.1

0.2

0.3

0.4

0.5

0.6

0.45 0.65 0.85 1.05 1.25 1.45

x

Value

atresetdate

-

8/14/2019 S0108

6/8

8/14/2019 S0108

7/8

800000

1200000

1600000

2000000

0 500000 1000000 1500000 2000000

Conversion value

Convertibleprice

0 rese ts 1 rese t 3 resets

0

0.2

0.4

0.6

0.8

1

0 500000 1000000 1500000 2000000

Conversion value

Delta

0 rese ts 1 rese t 3 rese ts

-0.2

-0.1

0

0.1

0.2

0.3

0 500000 1000000 1500000 2000000

Conversion value

A

bsolutedifferencedelta

1 vs 0 resets 3 vs 0 resets

-0.0000005

0.0000000

0.0000005

0.0000010

0.0000015

0.0000020

0 500000 1000000 1500000 2000000

Conversion price

Gamma

0 rese ts 1 rese t 3 rese ts

8/14/2019 S0108

8/8

-0.0000015

-0.000001

-0.0000005

0

0.0000005

0.000001

0.0000015

0 500000 1000000 1500000 2000000

Conversion price

Absolutedifferencegamma

1 vs 0 resets 3 vs 0 resets