Template:Nutshell Equity Derivatives 8.5: Difference between revisions

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Section {{eqderivprov|8.5}}. '''{{eqderivprov|Forward Cash Settlement Amount}}'''. “'''{{eqderivprov|Forward Cash Settlement Amount}}'''” means, for each {{eqderivprov|Valuation Date}}: <br>
{{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: ''{{eqderivprov|Number of Shares}} or {{eqderivprov|Basket}}s x'': <br>
::(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>

Latest revision as of 12:17, 13 May 2022