1000000 941764.

5
950 0.5 0 0 0 $ 1,000,000 1061837
1140 0.6 0 0 0 $ 1,000,000 1061837
1330 0.7 0 0 0 $ 1,000,000 1061837
1520 0.8 0 0 0 $ 1,000,000 1061837
$1,100,0
1710 0.9 0 0 0 $ 1,000,000 1061837
1900 1 0 0 0 $ 1,000,000 1061837
2090 1.1 0.1 20000 8000 $ 1,008,000 1061837 $1,080,0
2280 1.2 0.2 40000 16000 $ 1,016,000 1061837
2470 1.3 0.3 60000 24000 $ 1,024,000 1061837
2660 1.4 0.4 80000 32000 $ 1,032,000 1061837 $1,060,0
2850 1.5 0.5 100000 40000 $ 1,040,000 1061837
3040 1.6 0.6 120000 48000 $ 1,048,000 1061837
$1,040,0
3230 1.7 0.7 140000 56000 $ 1,056,000 1061837

Payoff ($)
3420 1.8 0.8 160000 64000 $ 1,064,000 1061837
3610 1.9 0.9 180000 72000 $ 1,072,000 1061837 $1,020,0
3800 2 1 200000 80000 $ 1,080,000 1061837

$1,000,0

$980,0

$960,0
 Payoff diagram
$1,100,000

$1,080,000

$1,060,000

$1,040,000
Payoff ($)

PP-ELN Payoff
$1,020,000 Zero-bond
Payoff

$1,000,000

$980,000

$960,000
0.5 0.6 0.7 0.8 0.9 1 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9 2
S&P 500 Index
 PP-ELN Payoff
Zero-bond
Payoff

1.6 1.7 1.8 1.9 2

 1000000 941764.5
950 0.5 0 0 0 $ 1,000,000 1061837
1140 0.6 0 0 0 $ 1,000,000 1061837
1330 0.7 0 0 0 $ 1,000,000 1061837
1520 0.8 0 0 0 $ 1,000,000 1061837
1710 0.9 0 0 0 $ 1,000,000 1061837
1900 1 0 0 0 $ 1,000,000 1061837
2090 1.1 0.1 20000 10000 $ 1,010,000 1061837
2280 1.2 0.2 40000 20000 $ 1,020,000 1061837
2470 1.3 0.3 40000 20000 $ 1,020,000 1061837
2660 1.4 0.4 40000 20000 $ 1,020,000 1061837
2850 1.5 0.5 40000 20000 $ 1,020,000 1061837
3040 1.6 0.6 40000 20000 $ 1,020,000 1061837
3230 1.7 0.7 40000 20000 $ 1,020,000 1061837
3420 1.8 0.8 40000 20000 $ 1,020,000 1061837
3610 1.9 0.9 40000 20000 $ 1,020,000 1061837
3800 2 1 40000 20000 $ 1,020,000 1061837
 Payoff diagram
$1,080,000

$1,060,000

$1,040,000
PP-ELN Payo
Zero-bond
Payoff ($)

$1,020,000 Payoff

$1,000,000

$980,000

$960,000
0.5 0.6 0.7 0.8 0.9 1 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9
S&P 500 Index
 PP-ELN Payoff
Zero-bond
Payoff

1.5 1.6 1.7 1.8 1.9 2