On Pmt Fn
Key On Pmt Fn in Contingent Claim refers to the optional formula that determines the amount that should be paid if the trigger function Trigger Fn evaluates to TRUE during a particular simulation run.
Exceptionally, the calculated amount is of no monetary nature - and thus never paid - if the On Pmt Currency is left unspecified and a text label is defined in On Pmt Account.
Technically the formula is represented by an object of the abstract typeReal Function, of which the ultimate type can be either Real To Real Function or Timed Real To Real Function.
The Real To Real Function object should be used when the formula is independent of time as it represents a function that maps a sequence of u numbers x₁ , x₂ , ... , xᵤ to a number representing the paid out amount.
The Timed Real To Real Function object should be used when the formula is time-dependent as it represents a function that maps a date followed by a sequence of u numbers x₁ , x₂ , ... , xᵤ to the paid out amount.
The u numbers x₁ , x₂ , ... , xᵤ are the quotes of the u underlyings defined in the related Payoff Policy as they are being observed at:
a) the time when the corresponding satisfied condition has been valuated
or
b) the time implied by one of the keys On Pmt Val Delay or On Pmt Val Date.
The choice a) holds only when none of these keys specifies a value.
If this entry is missing, no amount is paid when the condition is fullfilled.