Hi Gurus,
Need to implement the Rolling forward Plus with the below scenarios, please advise.
1. On each Valuation Date, if Reference Rate is equal
to or less than the Knock In Rate:
The USD Payer shall have the obligation to pay an
amount in USD equal to [1.5 x the USD Amount] to
the GBP Payer on the Settlement Date and receive
[1.5 x the GBP Amount] from the GBP Payer, subject
to the Special Condition.
2. On each Valuation Date, if Reference Rate is greater
than the Knock In Rate and is less than the Strike
Rate
There is no obligation between Barclays and the
Counterparty.
3. On each Valuation Date, if Reference Rate is equal
to or greater than the Strike Rate
The USD Payer shall have the right but not the
obligation to pay the USD Amount to the GBP Payer
on the Settlement Date and receive the GBP Amount
from the GBP Payer, subject to the Special Condition.
Special Condition:
If on any Valuation Date, the Reference Rate is
greater than the Strike Rate, the number of
remaining expiries decreases by 1 (last expiry on the
trade is cancelled).
Please advise what will be the Product Type that can be used along with the configuration required. I am a learner in SPA TRM.
Thanks
Deepankar