docs: added support for American exercise style for Swaption and Callable Swap

Author: Martin Sjogren

Docs/UserGuide/tradedata/swaption.tex

@@ -9,7 +9,7 @@ \subsubsection{Swaption}
 Supported swaption exercise styles are \emph{European}, \emph{Bermudan}, \emph{American}. Swaptions of all exercise styles can have an arbitrary number of legs, with
 each leg represented by a \lstinline!LegData! sub-node.  Cross currency swaptions are not supported for either exercise style, i.e. the Currency element must
 have the same value for all \lstinline!LegData! sub-nodes of a swaption. There must be at least one full coupon period after the exercise date for European 
-Swaptions, and after the last exercise date for Bermudan Swaptions. See Table \ref{tab:swaption_requirements} for further details on requirements for
+Swaptions, and after the last exercise date for Bermudan and American Swaptions. See Table \ref{tab:swaption_requirements} for further details on requirements for
  swaptions.\\
 \vspace{5mm}
 The structure of an example \lstinline!SwaptionData!  node of a European swaption is shown in Listing
@@ -59,8 +59,8 @@ \subsubsection{Swaption}
     \hline
         & \bfseries{A  Swaption requires:} \\  \hline
     \lstinline!OptionData! & One \lstinline!OptionData! sub-node  \\  \hline
-    \lstinline!Style! &  \emph{Bermudan} or \emph{European}\\ \hline
-    \lstinline!ExerciseDates! & \emph{European} swaptions can only have one \lstinline!ExerciseDate! child element. \\ \hline
+    \lstinline!Style! &  \emph{Bermudan} or \emph{European} or \emph{American}\\ \hline
+    \lstinline!ExerciseDates! & \emph{European} swaptions can only have one \lstinline!ExerciseDate! child element. \emph{American} swaptions must have two \lstinline!ExerciseDate! child elements. \emph{Bermudan} swaptions must have at least two \lstinline!ExerciseDate! child elements, or a Rules or Dates based exercise schedule. \\ \hline
     \lstinline!LegData! &  At least one \lstinline!LegData! sub-node \\ \hline
     \lstinline!Currency! & The same currency for all \lstinline!LegData! sub-nodes.\\ \hline
     \lstinline!LegType! & Allowed types are \emph{Cashflow}, \emph{Fixed} or \emph{Floating}. Floating coupons can be (capped / floored) Ibor, (capped / floored) compounded or averaged OIS, or BMA/SIFMA. Standalone options (nakedOption = true) are not allowed, neither are local OIS cap/floors. \\ \hline
@@ -93,7 +93,7 @@ \subsubsection{Swaption}
 
 \item \lstinline!OptionType![Optional]: This flag is optional for swaptions, and even if set, has no impact. Whether a swaption is a payer or receiver swaption is determined by the Payer flags on the legs of the underlying swap.
 
-\item  \lstinline!Style!: The exercise style of the Swaption. The allowable values are \emph{European},  \emph{Bermudan} or  \emph{American}.  Note that  \emph{American} exercise style isn't supported, and if set to  \emph{American}, it will behave as  \emph{Bermudan} exercise style.
+\item  \lstinline!Style!: The exercise style of the Swaption. The allowable values are \emph{European},  \emph{Bermudan} or  \emph{American}. 
 
 \item \lstinline!NoticePeriod![Optional]: The notice period defining the date (relative to the exercise date) on which the exercise
   decision has to be taken. If not given the notice period defaults to \emph{0D}, i.e. the notice date is identical to the
@@ -142,7 +142,7 @@ \subsubsection{Swaption}
 \item \lstinline!ExerciseFeeSettlementConvention![Optional]: The roll convention used to compute the exercise fee settlement date from
   the exercise date. Defaults to \emph{Unadjusted} if not given. Allowable values: See Table \ref{tab:convention} Roll Convention.
 
-\item An \lstinline!ExerciseDates! node where for \emph{European} style swaptions exactly one \lstinline!ExerciseDate! date element must be given.  \emph{Bermudan} style swaptions can have \lstinline!ExerciseDate! elements given directly (at least two  \lstinline!ExerciseDate! elements must be given), or Rules or Dates based exercise dates. See Listings \ref{lst:bermudan_swaption_exercisedates}, \ref{lst:bermudan_swaption_rules} and \ref{lst:bermudan_swaption_dates}.
+\item An \lstinline!ExerciseDates! node where for \emph{European} style swaptions exactly one \lstinline!ExerciseDate! date element must be given, and for \emph{American} style swaptions  exactly two \lstinline!ExerciseDate! date element must be given, defining the start and the end of the American exercise period.  \emph{Bermudan} style swaptions can have \lstinline!ExerciseDate! elements given directly (at least two  \lstinline!ExerciseDate! elements must be given), or Rules or Dates based exercise dates. See Listings \ref{lst:bermudan_swaption_exercisedates}, \ref{lst:bermudan_swaption_rules} and \ref{lst:bermudan_swaption_dates}.
 
 
 \begin{listing}[H]