EBU Single Rulebook Q&A 14 October 2015 2015_2398 Benchmarking exercise - market risk - clarifications on Annex V portfolios

Annex V - portfolio 1.16 (Double no touch option): Not only is the option worthless, it also knocks out immediately given the current level of spot (1.13). For the 2014 exercise, the level of spot meant that the option was in-the-money at the time of trade entry, however, it appears that the barrier levels have not been updated.