Template:M summ Equity Derivatives 6.2

The Calculation Period that didn’t bark in the night-time

Where, oh where, are the Calculation Periods 2002 ISDA Equity Derivatives Definitions? Ok so this is a bit of a trick question. There are no “Calculation Periods” — that is instead defined in the 2006 ISDA Definitions. In the 2002 ISDA Equity Derivatives Definitions, the periods for Equity calculations are handled by the “Valuation Date” concept.

That in turn determines the “Cash Settlement Payment Date” (for cash-settled Equity Swap Transactions) and “Settlement Date” (for physically settled ones).

You may see a Calculation Period on the Floating leg of an equity swap though - that will be a reference to the 2006 ISDA Definitions.

Bullet swaps

Some times you will trade “bullet swaps” which do not have a Valuation Date. Being the tortured language of ISDA’s crack drafting squad™, there is no straightforward concept in the definitions of a swap which has no Valuation Dates other than the Termination Date, so expect wildly ungainly language in confirms to express that fairly simple idea.