A binary return note is a structured product whose coupons are contingent on return rates on stocks. If the stock price is less than strike, the return is equal to (Price - Strike)/Strike; otherwise, the return is a predetermined constant, called positive binary return. The final coupon is the sum of the weighted stock returns.
Binary return note is valued via Monte Carlo simution. The important factors are stock prices, stock volatilities, FX rate volatilities, and stock/FX rate correlation.
A vanilla binary option is an option with a predetermined payoff, triggered only if the underlying price meets the strike price. There are also commonly referred to as "all or nothing" or "digital options."
ResearchGate digital return note