Digital Structure (Digitals)
About 2 min
Digital Structure (Digitals)
Visit the Mathema Option Pricing System for foreign exchange options and structured product valuation!
I. Transaction Details
Contract Number | 【】 |
Currency | RMB |
Underlying Asset | 【EUR/USD Spot Exchange Rate (expressed as the amount of USD per 1 EUR)】 |
Notional Amount | 【XXX,XXX,XXX.XX】 RMB |
Trade Date | 【XXXX】Y【XX】M【XX】D |
Start Date | 【【XXXX】Y【XX】M【XX】D. If this is not a business day, it will be adjusted to the next business day. |
Observation Date | 【XXXX】Y【XX】M【XX】D |
Maturity Date | 【XXXX】Y【XX】M【XX】D. If this is not a business day, it will be adjusted to the next business day, but not into the next month. If it falls on the last day of the month, it will be adjusted to the nearest business day. |
Tenor | 【XXX】 days, unadjusted |
Beijing Business Day | Refers to a day when financial institutions in China are open for business (excluding Chinese public holidays and exchange-announced closure dates). |
Business Day | Beijing Business Day and New York Business Day (when financial institutions in New York City are open for business). |
Initial Price | The mid-price of EUR/USD displayed on Bloomberg "BFIX" page at 3:00 PM Tokyo time on the Start Date, accurate to 5 decimal places, without rounding. |
Observation Price | The mid-price of EUR/USD displayed on Bloomberg "BFIX" page at 3:00 PM Tokyo time on the Observation Date, accurate to 5 decimal places, without rounding. If the EUR/USD spot rate is not displayed on Bloomberg "BFIX", the calculation agent will determine the applicable rate in a commercially reasonable manner and in good faith. |
Strike Price | 【 】 |
II. Settlement Payment Terms
Maturity Yield (Annualized) | If the Observation Price of the underlying asset is less than or equal to the Strike Price, the maturity yield is 2.10%; Otherwise, the maturity yield is 0.00%. |
Back-End Option Settlement Payment Amount | Notional Amount × Maturity Yield (Annualized) × Tenor / 360, rounded to 0.01 RMB. Specifically: (1) If the Observation Price of the underlying asset is less than or equal to the Strike Price, the back-end option settlement payment amount is RMB【】; (2) Otherwise, the back-end option settlement payment amount is RMB 0.00. |
Back-End Option Settlement Payment | Party A will pay the Back-End Option Settlement Payment Amount to Party B on the Maturity Date. |
III. Fee Payment Terms
Option Premium Payment | Party B will pay the option premium to Party A on the Option Premium Payment Date. |
Option Premium Payment Date | The Option Premium Payment Date is the Maturity Date. |
Option Premium | Option Premium = Notional Amount × 2.00% × Tenor / 360, rounded to 0.01 RMB, i.e., RMB【】. |
Net Settlement Explanation | This transaction is settled on a gross basis. |