Template:Nutshell Equity Derivatives 5.9: Difference between revisions

Section {{eqderivprov|5.9}}. '''{{eqderivprov|Final Price}}'''. “'''{{eqderivprov|Final Price}}'''” means, for each {{eqderivprov|Valuation Date}}

as determined by the {{eqderivprov|Calculation Agent}}:

:(a) '''{{eqderivprov|Index Swap Transaction}}s''': the {{eqderivprov|Index}} level as of the {{eqderivprov|Valuation Time}} on the {{eqderivprov|Valuation Date}};  

:(b) '''{{eqderivprov|Share Swap Transaction}}s''': the price per {{eqderivprov|Share}} as of the {{eqderivprov|Valuation Time}} on the Valuation Date or, if no means for determining the {{eqderivprov|Final Price}} are provided in the {{eqderivprov|Confirmation}}:  

::(i) For {{eqderivprov|Exchange}}s that are “open outcry” exchanges that have a price as of the {{eqderivprov|Valuation Time}}, the offical price per {{eqderivprov|Share}} at the {{eqderivprov|Valuation Time}} on the {{eqderivprov|Valuation Date}} reported by the {{eqderivprov|Exchange}}; and  

::(ii) For {{eqderivprov|Exchange}}s that are dealer quotation systems, the mid-point of the highest bid and lowest ask prices quoted at or immediately before the {{eqderivprov|Valuation Time}} on the {{eqderivprov|Valuation Date}} (without regard to quotations that “lock” or “cross” the system);  

:(c) '''{{eqderivprov|Index Basket Swap Transaction}}s''': The sum of the {{eqderivprov|Relevant Prices}} (weighted for each {{eqderivprov|Index}} as provided in the related {{eqderivprov|Confirmation}}) for the {{eqderivprov|Indices}} comprised in the {{eqderivprov|Basket}}; and  

:(d) '''{{eqderivprov|Share Basket Swap Transaction}}s''': The sum of the values for the {{eqderivprov|Shares}} of each {{eqderivprov|Issuer}} as the product of  

::(i) the {{eqderivprov|Relevant Price}} of such {{eqderivprov|Share}} and  

::(ii) the relevant {{eqderivprov|Number of Shares}} comprised in the {{eqderivprov|Basket}}.