B.2.12 Example 12

Vanilla option with barrier settling difference between strike and spot payment at hit.

Case 1

MT 306 is generated during book.

Table B-72 Parameters of the contract

Contract Type	Value
Option Style	Vanilla
Booking Date	03 Jan 2023
Maturity Date	31 Jan 2023
Barrier Type	Knocked in
Expiration Style	American
Earliest Exercise Date	20 Jan 2023
Exercise Payment at	Hit
In the money	On same day
Payment Lag days	2

Table B-73 Event wise contract status

Event	Date	Contract Status
Book	Jan 3rd	Active
KNIN	Jan 17th	Knocked In
EXER	Jan 20th	Exercise Initiated
SGEN	Jan 21st	Exercise Initiated
EXST	Jan 22nd	Exercise

Case 2

MT 306 is generated during book.

Table B-74 Parameters of the contract

Contract Type	Value
Option Style	Vanilla
Booking Date	03 Jan 2023
Maturity Date	31 Jan 2023
Barrier Type	Knocked in
Expiration Style	American
Earliest Exercise Date	20 Jan 2023
Exercise Payment at	Hit
In the money	On next day
Payment Lag days	0

Table B-75 Event wise contract status

Event	Date	Contract Status
Book	Jan 3rd	Active
KNIN	Jan 17th	Knocked in
EXER, SGEN and EXST	Jan 21st	Exercised

Since lag day is zero, exercise settlement takes place on maturity date.