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Template:Nutshell Equity Derivatives 8.5: Difference between revisions
Template:Nutshell Equity Derivatives 8.5 (view source)
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{{eqderivprov|8.5}}. '''{{eqderivprov|Forward Cash Settlement Amount}}'''. “'''{{eqderivprov|Forward Cash Settlement Amount}}'''” means, for each {{eqderivprov|Valuation Date}}: <br> | |||
:(a) '''{{eqderivprov|Index Forward Transaction}} or {{eqderivprov|Index Basket Forward Transaction}}s: | :(a) '''{{eqderivprov|Index Forward Transaction}} or {{eqderivprov|Index Basket Forward Transaction}}s: | ||
::(i) '''where “{{eqderivprov|Prepayment}}” does not apply''': ''{{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Price}} x 1 unit of {{eqderivprov|Settlement Currency}} x {{eqderivprov|Multiplier}}''; <br> | ::(i) '''where “{{eqderivprov|Prepayment}}” does not apply''': ''{{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Price}} x 1 unit of {{eqderivprov|Settlement Currency}} x {{eqderivprov|Multiplier}}''; <br> | ||
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::(i) '''where neither “{{eqderivprov|Prepayment}}” or “{{eqderivprov|Variable Obligation}}” applies''': ''{{eqderivprov|Number of Shares}} (or {{eqderivprov|Basket}}s) x {{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Price}}''; <br> | ::(i) '''where neither “{{eqderivprov|Prepayment}}” or “{{eqderivprov|Variable Obligation}}” applies''': ''{{eqderivprov|Number of Shares}} (or {{eqderivprov|Basket}}s) x {{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Price}}''; <br> | ||
::(ii) '''where “{{eqderivprov|Prepayment}}” applies but “{{eqderivprov|Variable Obligation}}” does not''': ''{{eqderivprov|Number of Shares}} or {{eqderivprov|Basket}}s x {{eqderivprov|Settlement Price}}''; <br> | ::(ii) '''where “{{eqderivprov|Prepayment}}” applies but “{{eqderivprov|Variable Obligation}}” does not''': ''{{eqderivprov|Number of Shares}} or {{eqderivprov|Basket}}s x {{eqderivprov|Settlement Price}}''; <br> | ||
::(iii) '''where “{{eqderivprov|Prepayment}}” does not apply but “{{eqderivprov|Variable Obligation}}” does | ::(iii) '''where “{{eqderivprov|Prepayment}}” does not apply but “{{eqderivprov|Variable Obligation}}” does''':<br> | ||
:::(A) '''where {{eqderivprov|Settlement Price}} ≤ {{eqderivprov|Forward Floor Price}}''': ''{{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Floor Price}}''; <br> | :::(A) '''where {{eqderivprov|Settlement Price}} ≤ {{eqderivprov|Forward Floor Price}}''': ''{{eqderivprov|Number of Shares}} or {{eqderivprov|Basket}}s x {{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Floor Price}}''; <br> | ||
:::(B) '''where {{eqderivprov|Forward Cap Price}} ≥ {{eqderivprov|Settlement Price}} > {{eqderivprov|Forward Floor Price}}''': ''zero''; and <br> | :::(B) '''where {{eqderivprov|Forward Cap Price}} ≥ {{eqderivprov|Settlement Price}} > {{eqderivprov|Forward Floor Price}}''': ''{{eqderivprov|Number of Shares}} or {{eqderivprov|Basket}}s x zero''; and <br> | ||
:::(C) '''where {{eqderivprov|Settlement Price}} > {{eqderivprov|Forward Cap Price}}''': ''{{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Cap Price}}; and <br> | :::(C) '''where {{eqderivprov|Settlement Price}} > {{eqderivprov|Forward Cap Price}}''': ''{{eqderivprov|Number of Shares}} or {{eqderivprov|Basket}}s x {{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Cap Price}}; and <br> | ||
:(iv) '''where both “{{eqderivprov|Prepayment}}” and “{{eqderivprov|Variable Obligation}}” apply''': ''{{eqderivprov|Number of Shares}} or {{eqderivprov|Basket}}s (without rounding) x {{eqderivprov|Settlement Price}}. <br> | ::(iv) '''where both “{{eqderivprov|Prepayment}}” and “{{eqderivprov|Variable Obligation}}” apply''': ''{{eqderivprov|Number of Shares}} or {{eqderivprov|Basket}}s (without rounding) x {{eqderivprov|Settlement Price}}. <br> | ||