Skip to main content

Boundary Controlled Switch (BCS)

Description​

A boundary controlled switch is a derivative contract with subcontract legs which can be activated (knocked in) or extinguished (knocked out) when the underlying asset price reaches a specified value. The underlying asset may be a stock, index, or exchange-traded fund. Boundary controlled switch contracts with a single boundary are currently defined.

Real-world Instrument Examples (but not limited to)​

Knock-in and Knock-out barrier options with a single boundary. Bonus contracts with payout when underlying asset price remains above or below a specified level for specified period.

Required Terms​

  • boundaryDirection
  • boundaryEffect
  • boundaryLegInitiallyActive
  • boundaryMonitoringAnchorDate
  • boundaryMonitoringCycle
  • boundaryMonitoringEndDate
  • boundaryValue
  • contractDealDate
  • contractID
  • contractRole
  • contractStructure
  • contractType
  • maturityDate
  • priceAtPurchaseDate
  • purchaseDate
  • statusDate

Conditional Groups​

Group 1​

  • Drivers: terminationDate
  • Required if triggered: priceAtTerminationDate
  • Optional: None

Standalone Optional Terms​

  • businessDayConvention
  • calendar
  • deliverySettlement
  • endOfMonthConvention
  • marketObjectCode
  • marketValueObserved
  • settlementPeriod

Notes​

  • contractType is automatically set to "BCS" when using the class.