Accumulator Settled Total Claim
Accumulator Settled Total Claim is a direct subtype of Contingent Claim
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with functions Accumulator Settled Total Claim Functions, keys Accumulator Settled Total Claim keys and example object AccumSettleTotalClaim
TYPE INCLUSION RELATIONSHIPS
AVAILABLE FUNCTIONS
AVAILABLE CREATE FUNCTION KEYS
TYPICAL OBJECTS OF TYPE Accumulator Settled Total Claim
This type represents the total number of shares that have been bought (sold) in the context of an accumulator (decumulator) contract associated with the related Structured Product
At each relevant time t, this total number of shares is recorded in a special non-cash total settled shares account.
Formally, it can be regarded as a non-cash Payoff conditional on the occurrence of the associated event at each applicable observation timet, which event may be referred here as the accumulation settled total event
The claim must always coexist with 3 other claims of type Accumulator Accr Claim, Accumulator Pmt Claim and Accumulator Days Total Claim
The observation times is a subset of those in the linked Accumulator Pmt Claim
The non-cash Payoff at each applicable observation time t does not represent cash, but rather the total number of shares that has been bought or sold on behalf of the investor until t in the context of a related Structured Product
As described in Contingent Claim, the three main ingredients of every Contingent Claim are the condition the ON payoff and the OFF payoff
In the case of a Accumulator Settled Total Claim, these are as below:
Condition
This claim's condition is trivial, in the sense it is assumed to be satisfied at each observation time
As described in Contingent Claim, technically every condition is represented by a predicate function 𝘨 associated with the key Trigger Fn of its container typeContingent Claim
Here 𝘨 is set to RealBoolTransf, which is a predicate function that always returns TRUE
ON Payoff
This concerns the non-cash Payoff amount ON amt representing the total number of shares settled by t associated with the condition being satisfied at any applicable observation time t
Since the condition is always satisfied, ON amt is always calculated at each applicable t
The amount ON amt is calculated by the function ƒON associated with the key On Pmt Fn of its direct container typeContingent Claim
Note, the amount ON amt is not paid out to the investor, but simply stored in the special non-cash account designated with the text label defined in Account Name
The function ƒON expects as input the 2 arguments: (aₛ, a), where
aₛ = the number of shares already existing in the special non-cash account as of the observation time t
This equals the total number of previously accumulated shares that have already been settled (i.e. bought or sold by the investor).
a = the number of shares already existing in the special non-cash account associated with the linked Accumulator Accr Claim at time t
This equals the number of shares that are currently accumulated but have not yet been settled.
The formula is:
ƒON(aₛ,a) = aₛ + a
Technically, the function ƒON is represented by an object of type Linear Fn, which is a linear function h of two variables with formula:
h(x₁ , x₂) = (m₁ x₁ + m₂ x₂ + c)
where the parameter pairs m₁ , m₂ , c are constants
In the case here:
x₁ = aₛ
x₂ = a
m₁ = 1
m₂ = 1
c = 0
OFF Payoff
This claim has no payoff associated with the condition not being satisfied.