KO Memory Claim
KO Memory Claim is a direct subtype of Contingent Claim
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TYPE INCLUSION RELATIONSHIPS
AVAILABLE FUNCTIONS
AVAILABLE CREATE FUNCTION KEYS
TYPICAL OBJECTS OF TYPE KO Memory Claim
This type represents a claim on a conditional Boolean Payoff, conditional on the occurrence of the associated event at each applicable observation timet, which event may be referred here as the knock-out memory event
The Boolean Payoff at each applicable observation time t does not represent cash, but rather information on whether each underlying has breached the respective knock-out barrier some time in the past.
For example in the context of 3 underlyings, it can be a number such as 5, of which the binary 3-digit representation is 101
Understanding 0 as false (not breaching the barrier) and 1 as true (breaching the barrier), the Boolean Payoff amount of 5 means the second underlying has not yet breached the barrier but the other two have.
The KO Claim relies on this Boolean Payoff to determine whether its knock-out condition is satisfied or not.
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 KO Memory Claim, these are as below:
Condition
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 expects as input a single variable that equals the Boolean Payoff amount described above, as observed at the observation time t to exist in the special non-monetary account identified by the name specified in the field corresponding to the key Account Name
Note, this equals the amount produced by the most recent OFF payoff prior to t
Here 𝘨 is set to Process Binary Rep referencing the AND Boolean operation, which is a predicate function that returns TRUE if the input number has a binary form that consists only of 1s.
ON Payoff
This claim has no payoff associated with the condition being satisfied.
OFF Payoff
This concerns the Boolean Payoff amount OFF amt associated with the condition not being satisfied at any applicable observation time t
Technically, the amount OFF amt is calculated by the function ƒOFF associated with the key Off Pmt Fn of its direct container typeContingent Claim
Note, the amount OFF 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 ƒOFF is represented by an object of type Scheduled Number Is Inside Fn