Capturing Cliquet Equity Structured Options

A Cliquet is a multi-period option with a single payoff at maturity. Each period has a return that can be floored and/or capped. The sum of the period returns can be globally capped and floored.

The Payoff is defined as:

Let Si equal the price of an asset and 0 = T0 < T1 < T2 … < TN by N+1 * points:

Payoff =

Where:

 

Input Definition Description

Notional Amount

NA

The Notional Amount of the trade. A Cliquet is in Notional.

Start Date

T0

The Start Date of the Reset Schedule.

Maturity

TN

The Final Reset Date. This is Typically the Expiration Date of the Option.

Cliquet Reset Dates

T0 , T1 , T2 , …, TN where T0 < T1 < T2 … < TN

The Schedule of Reset/Fixing dates.

Initial/Central Coupon

Cinitial

The Initial Coupon. It is used as a base coupon that period returns are added to.

Global Cap

Cglobal

The maximum return for the payoff.

Global Floor

Fglobal

The minimum return for the payoff.

Local Cap

Clocal

The maximum return for any given reset period.

Local Floor

Flocal

The minimum return for any given reset period.

Participation

Part, an amount in percent. Ex. 80%

The percentage of the return to return to the user.

Strike

K, represented in return(%) or absolute amount. If return, an example strike would be 10%, for a 110% call.

 

Direction

1 for a call option, -1 for a put option

 

 

Choose Trade > Equity > Equity Structured Option to open the Equity Structured Option worksheet, from Calypso Navigator or from the Trade Blotter.

» Select the Cliquet payout.

Equity Structured Option Trade Window - Sample Cliquet trade

See Capturing Equity Structured Options for general details.

 

Cliquet Details

» Enter the fields described below as needed.

 

Cliquet Parameters

Fields Description

Strike %

Enter the strike price in percentage of spot.

Type

Select Put or Call.

Participation (%)

Enter the percentage of participation.

Initial Coupon (%)

Enter the initial coupon in percentage.

Global Cap (%)

Enter the maximum return for the payoff in percentage.

Global Floor (%)

Enter the minimum return for the payoff in percentage.

Local Cap (%)

Enter the maximum return for any given reset period in percentage.

Local Floor (%)

Enter the minimum return for any given reset period in percentage.

 

Cliquet Schedule

Fields Description

Cliquet Schedule

Displays a description of the schedule.

Click Details to view the actual schedule.

The Cliquet schedule is shown below.

 

» You can click to add a period as needed.
» You can click to regenerate the schedule.