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Operations

The op column contains a string which can be +, >, <, or a condition.

Payment

+

+ in the ops column indicates that the contract holder will receive the payment specified by the quantity and the unit, and then continue to receive whatever else is further down in the timetable in the same track.

Example: A bond paying 5% semi-annually and maturing in two years. 

      time op  quantity unit track
06/30/2024  +     0.025  USD
12/31/2024  +     0.025  USD
06/30/2025  +     0.025  USD
12/31/2025  +     1.025  USD

Choice of holder

>

> in the ops column indicates that the contract holder can choose from the following two options

  • receive the payment specified by the quantity and the unit, and then terminate the contract.
  • or, instead of that payment, receive whatever else is further down in the timetable in the same track.

Example: An European Call Option with strike 2900, expiring in 2024-03-31.

      time op  quantity unit track
03/31/2024  >       0.0  USD
03/31/2024  +   -2900.0  USD
03/31/2024  +       1.0  SPX

Note

A choice is different from a condition. In a choice, the holder of the contract (or counterparty) makes a decision. This decision takes future expectations into account, i.e. what is coming further down in the timetable. For the holder's choice, a reasonable model would choose the option with a greater expected value of future events.

Choice of counterparty

<

< in the ops column indicates that the counterparty can choose from the following two options

  • pay the holder the payment specified by the quantity and the unit, and then terminate the contract.
  • or, instead of that payment, pay the holder whatever else is further down in the timetable in the same track.

Example: A callable bond, paying 5% USD semi-annually, maturing in two years, and callable at the end of the first year.

      time op  quantity unit track
06/30/2024  +     0.025  USD
12/31/2024  +     0.025  USD
12/31/2024  <     1.000  USD
06/30/2025  +     0.025  USD
12/31/2025  +     1.025  USD

Condition

ko

Any other string in the op column is assumed to be a phrase.

  • If the phrase evaluates to true, the holder will receive the payment specified by the quantity and the unit, and then terminate the contract.
  • If the phrase evaluates to false, then instead of that payment, holder will receive whatever else is further down in the timetable in the same track.
  • If the phrase returns a float array instead of a bool array, the holder will receive a weighted sum of both outcomes.

Example: knock-in or knock-out events in a barrier option. In the example below ko is a phrase that describes the barrier condition. If the condition is met the option is knocked out with a rebate of 1.0. If the barrier is not met, the contract continues further down the track.

      time op  quantity unit track
03/31/2024 ko       0.0  USD
05/31/2024 ko       0.0  USD
07/31/2024 ko       0.0  USD
09/30/2024 ko       0.0  USD
09/30/2024  >       0.0  USD
09/30/2024  +    -100.0  USD
09/30/2024  +       1.0   EQ

See a complete example in Barrier Options.

Snapper

If the unit is a Snapper, i.e. a path dependent calculation to be performed at that time, then op should be None or "s".