1. Asset Liability Management Cloud User Guide
  2. Business Rules Administration
  3. Application Specific Rules
  4. Forecasting Rules
  5. Transaction Strategy Rules
  6. Defining Transaction Strategy Rule
  7. Defining Transaction Strategy Rule Using Node Level Assumptions
  8. Embedded Option Attributes

5.3.2.6.2.1.7 Embedded Option Attributes

An option is a contract between a buyer and a seller in which the buyer has the right, but not the obligation, to purchase (in the case of a call option) or sell (in the case of a put option) a specified underlying asset at a specified price during or at the end of a specified period. The option seller, or writer, grants this right in return for the option price, or premium. The option buyer is long the contract; the seller is short.

Select the Embedded Option Flag check box on the Core Attributes section to enable the Embedded Option Attributes section.

Figure 5-201 Embedded Option Attributes


Embedded Option Attributes

Table 5-57 Fields to add the Embedded Option attributes and their Descriptions

Field Behavior
Option Type This attribute stores the option type of the embedded option. The list of valid values is 1 (Call) and 2 (Put).
Strike Type This attribute stores the strike type code of the embedded option. A strike type of price assumes that the price of the instrument is used as the strike. A strike type of rate assumes that the interest rate of the instrument is used as the strike. The list of valid values is 1 (Price) and 2 (Rate).
Rate Lookup Type This attribute stores the rate lookup code. Depending upon the rate lookup, the rate of the appropriate term is compared against the strike rate. For instance, if the rate lookup code is Payment Frequency, the Strike IRC term point of payment frequency is compared against the strike rate. List of valid values is 1 (Remaining Term), 2 (Original Term), 3 (Payment Frequency), and 4 (Reprice Frequency).
Execerise Type This attribute stores the exercise type code or option style of the embedded option. The list of valid values is 1 (American), 2 (Bermudan), 3 (European).
Option Start Date This attribute stores the options start date and is valid for the American style of options.
Strike Interest Rate Curve This attribute stores the coded value of the interest rate curve which is linked to the strike.
Option Expiry Date This attribute stores the expiry date of the option.
Strike Value This attribute stores the strike rate (for example, entering “3.56” equals 3.56% ) or price (for example, 102.15) depending on the strike type of the option.