Single-Way Sharkfin
About 2 min
Single-Way Sharkfin
Visit the Mathema Option Pricing System for foreign exchange options and structured product valuation!
I. Transaction Details
Contract Number | 【】 |
Currency | RMB |
Underlying Asset | 【CSI 300 Index (Code: 000300.SH)】 |
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 trading day, it will be adjusted to the next trading day. |
Final Observation Date | 【XXXX】Y【XX】M【XX】D. If this is not a trading day, it will be adjusted to the next trading day. |
Maturity Date | 【XXXX】Y【XX】M【XX】D. If this is not a trading day, it will be adjusted to the next trading day. |
Tenor | 【XXX】 days |
Business Day | Refers to a day when financial institutions in China are open for business (excluding Chinese public holidays and exchange-announced closure dates). |
Exchange | Shanghai Stock Exchange and Shenzhen Stock Exchange |
Trading Day | A day when the underlying asset is normally traded on the exchange. |
Observation Dates | All trading days from (and including) the Start Date to (and including) the Final Observation Date. |
Initial Price | The closing price of the underlying asset on the Start Date, as published by China Securities Index Co., Ltd., rounded to 2 decimal places. |
Final Price | The closing price of the underlying asset on the Final Observation Date, as published by China Securities Index Co., Ltd., rounded to 2 decimal places. |
Strike Price | Initial Price × 【95.00%】 |
Barrier Price | Initial Price × 【102.00%】, rounded to 2 decimal places. |
Participation Rate | 【60.00%】 |
Knock-Out Event | If the closing price of the underlying asset on any Observation Date exceeds the Barrier Price, a Knock-Out Event occurs. |
II. Settlement Payment Terms
Knock-Out Yield (Annualized) | Knock-Out Yield (Annualized) = 【3.20%】 |
Maturity Yield (Annualized) | (1) If a Knock-Out Event occurs, the Maturity Yield is the Knock-Out Yield; (2) If no Knock-Out Event occurs, the Maturity Yield = 【0.50%】 + Participation Rate × Max[0, (Final Price - Strike Price) / Initial Price]. |
Front-End Option Settlement Payment Amount | Front-End Option Settlement Payment Amount = Notional Amount × Tenor / 365 × 【0.00%】 = 【0.00】 RMB, rounded to 0.01 RMB. |
Back-End Option Settlement Payment Amount | Notional Amount × Maturity Yield (Annualized) × Actual Days from (and including) the Start Date to (but excluding) the Maturity Date / 365, rounded to 0.01 RMB. |
Front-End Option Settlement Payment | Party A will pay the Front-End Option Settlement Payment Amount to Party B by 【XXXX】年【XX】月【XX】日. |
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 × 【2.76%】 × Actual Days from (and including) the Start Date to (but excluding) the Maturity Date / 365, rounded to 0.01 RMB. |
Net Settlement Explanation | The option premium, front-end option settlement payment amount, and back-end option settlement payment amount will be net settled, with the net amount rounded to 0.01 RMB. |