Glossary
Best of Barrier2
| What is a best of barrier instrument? The best of barrier instrument is in effect a call (or put) barrier instrument with a basket of underlying assets where: | ||
| The barrier can be either a knock in or a knock out trigger. | ||
| The actual underlying that is compared to the trigger (in order to see if the instrument should be knocked in or out) is the best performing asset at any moment that the barrier is monitored over the instrument's lifetime. | ||
| Note If it is a European style, the barrier is only monitored on the instrument's expiry date; if it is an American style, the barrier is monitored at any point in time over the instrument's lifetime. | ||
| On the expiry date the payout is calculated by comparing the fixed strike with either of the following underlyings (which one depends on what is defined in the instrument definition) rather than with the spot of a single predefined asset: | ||
|
strong>The spot of the best performing asset at the close of trading on the expiry
date.
In this case the payout is as follows: (For a call) Notional * max(BestPerformance[T] - strike% , 0)l (For a put) Notional * max(strike% - BestPerformance[T] , 0) Where:
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