Template:M summ Equity Derivatives 1.48: Difference between revisions
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The whatiffery starts if a related {{eqderivprov|Exchange}} is not trading at all — a Disrupted Day by the designated {{eqderivprov|Knock-in/out Valuation Time}}. (if trading becomes disrupted afterwards, no harm done - your “knock” has already happened and the {{eqderivprov|Transaction}} can carry serenely on with whatever it was doing). | The whatiffery starts if a related {{eqderivprov|Exchange}} is not trading at all — a Disrupted Day by the designated {{eqderivprov|Knock-in/out Valuation Time}}. (if trading becomes disrupted afterwards, no harm done - your “knock” has already happened and the {{eqderivprov|Transaction}} can carry serenely on with whatever it was doing). | ||
If there is a disruption you have eight days to sit it out, after which you damn the torpedoes and value the reference Security using the valuation methodology under Section {{eqderivprov|6.6}} ({{eqderivprov|Consequences of Disrupted Days}}). The drafting somewhat implies that at this stage there will only be one {{eqderivprov|Knock-in/out Determination | If there is a disruption you have eight days to sit it out, after which you damn the torpedoes and value the reference Security using the valuation methodology under Section {{eqderivprov|6.6}} ({{eqderivprov|Consequences of Disrupted Days}}). The drafting somewhat implies that at this stage there will only be one {{eqderivprov|Knock-in/out Determination Day}}, on that eighth day, but this is not, at least in theory, the case: the {{eqderivprov|Knock-in/out Determination Day}} only works out whether a {{eqderivprov|Knock-in/out Event}} has happened; if it hasn’t you fold away your tent and come back the next {{eqderivprov|Scheduled Trading Day}} — whether or not disrupted — and do it all again. | ||
Latest revision as of 08:54, 19 May 2022
So it starts out easily enough: unless otherwise specified (everything in an ISDA definitions booklet is “unless otherwise specified”), every Scheduled Trading Day on an Exchange is a “Knock-in/out Determination Day.
The whatiffery starts if a related Exchange is not trading at all — a Disrupted Day by the designated Knock-in/out Valuation Time. (if trading becomes disrupted afterwards, no harm done - your “knock” has already happened and the Transaction can carry serenely on with whatever it was doing).
If there is a disruption you have eight days to sit it out, after which you damn the torpedoes and value the reference Security using the valuation methodology under Section 6.6 (Consequences of Disrupted Days). The drafting somewhat implies that at this stage there will only be one Knock-in/out Determination Day, on that eighth day, but this is not, at least in theory, the case: the Knock-in/out Determination Day only works out whether a Knock-in/out Event has happened; if it hasn’t you fold away your tent and come back the next Scheduled Trading Day — whether or not disrupted — and do it all again.