Accumulator Pmt Claim
' Accumulator Pmt Claim' is a direct subtype of Contingent Claim
aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa
with functions Accumulator Pmt Claim Functions, keys Accumulator Pmt Claim keys and example object AccumPmtClaim
TYPE INCLUSION RELATIONSHIPS
AVAILABLE FUNCTIONS
AVAILABLE CREATE FUNCTION KEYS
TYPICAL OBJECTS OF TYPE Accumulator Pmt Claim
This type represents the periodic purchase (selling) of shares in the context of an accumulator (decumulator) contract associated with the related Structured Product
Formally, it can be regarded as a payment conditional on the occurrence of the associated event at each applicable observation timet, which event may be referred here as the accumulation payment event
The claim must always coexist with 3 other claims of type Accumulator Accr Claim, Accumulator Settled Total Claim and Accumulator Days Total Claim
The payment amount is linked to the so far accumulated number of shares that has been accrued since the most recent time prior to t when these shares were bought or sold on behalf of the investor.
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 Pmt 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 payoff amount ON amt representing the net value to the investor from buying or selling the accumulated number of shares at the stipulated strike price 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
The function ƒON expects as input the 2 arguments: (a , s), where
a = the accumulated shares already existing in the special non-cash account associated with the linked Accumulator Accr Claim at time t
s = the share price of the laggard underlying observed at time t
The formula is:
ƒON(a , s) = a (s - K S⁰)
Above, K is the strike and S⁰ is the reference share price of the laggard underlying
Technically, the function ƒON is represented by an object of type Product Fn, which is a function h of two variables with formula:
h(x₁ , x₂) = (m₁ x₁ + c₁) (m₂ x₂ + c₂)
where the parameter pairs m₁ , m₂ , c₁ , c₂ are constants
In the case here:
x₁ = a
x₂ = s
m₁ = 1
c₁ = 0
m₂ = 1
c₂ = - K S
OFF Payoff
This claim has no payoff associated with the condition not being satisfied.