Add note about Merkle tree validity.

Signed-off-by: Daira Hopwood <daira@jacaranda.org>

protocol/protocol.tex

@@ -1138,6 +1138,9 @@ for each $i \in \setofOld$ \changed{$\mid$ $\vOld{i} \neq 0$}:
 $\treepath{i}$ must be a valid \merklePath of depth $\MerkleDepth$, as defined in
 \crossref{merkle}, from $\Commitment(\cOld{i})$ to \noteCommitmentTree root $\rt$.
 
+\textbf{Note:} Merkle path validity covers both conditions 1. (a) and 1. (d) of the NP statement
+given in section 4.2 of \cite{ZerocashOakland}.
+
 \subparagraph{Balance}
 
 $\changed{\vpubOld\; +} \vsum{i=1}{\NOld} \vOld{i} = \vpubNew + \vsum{i=1}{\NNew} \vNew{i}$.