The most essential transaction details have been presented within the following screenshot below.
In a nutshell, 3-year holding period has been divided into three annual periods. For each period, running cumulative (but capped) coupon will be calculated based on simulated index fixing values (Geometric Brownian Motion). At the end of each period, period payoff (floored) will be calculated. Pricing-wise, this period payoff will then be discounted to present valuation date. Structure total PV is the sum of all discounted period payoffs.
In order to get more familiar with QuantLib Monte Carlo framework, one may take a look at Implementing QuantLib blog or get the actual book on QuantLib implementation from Leanpub. Also, MoneyScience is organizing Introduction to QuantLib Development course regularly. The most essential parts of the library are thoroughly covered during this 3-day training course, hosted by QuantLib lead developer Luigi Ballabio. Thanks for reading this blog. Merry Christmas and Happy New Year for everybody.
The following screenshots are presenting parameters, result, path simulations and coupon calculations in Excel for this structured note. PV is an average of all discounted path payoffs.