1. Cash Flow Engine Reference Guide
  2. Bonds with Embedded Options
  3. Deterministic Approach for Rate-Based Strike
  4. European Expiry

19.4.1 European Expiry

  • Depending on the Strike IRC defined in the EMBEDDED_OPTIONS table and the forecast rules as per the forecast rules definition, the rates are forecasted for Strike IRC.
  • Depending on the Rate lookup selection by the user, the term is chosen and compared against the Strike Rate.
  • Bucket Rates in which the option exercise date falls are to be used.