B.2.2 Example 2

We continue with the Example 1, but add on the following new parameters:

Table B-57 Example 2

Contract Type	Value
Barrier type	Double Knock Out
Barrier	52 INR/USD
Lower barrier	47 INR/USD
Rebate	20 EUR
Barrier Window Start Date	01-Sep-2003
Barrier Window End Date	01-Nov-2003

If, at any time during 01-Sep-2003 and 01-Nov-2003, the spot rate touches or crosses 52 INR/USD or becomes less than 47 INR/USD, this option ceases to be in effect (are knocked out). The option writer pays a rebate of 20 EUR to Options Bank. If, on 15-Oct-2003, the spot rate touches the strike price, the option can be exercised even though the barrier window has not yet been completed. In this case, the seller of the option becomes liable to pay a sum of 500 EUR to Options Bank.