Docs: included AutomaticExerice in OptionData section for FxOption

Author: Martin Sjogren

Docs/UserGuide/tradedata/commodityoption.tex

@@ -171,22 +171,22 @@ \subsubsection{Commodity Spread Option}
   <SpreadStrike>2.3</SpreadStrike>
   <OptionStripPaymentDates>
   	<OptionStripDefinition>
-    	<Rules>
-        	<StartDate>2023-07-01</StartDate>
+          <Rules>
+	    <StartDate>2023-07-01</StartDate>
             <EndDate>2023-10-01</EndDate>
             <Tenor>1M</Tenor>
             <Calendar>NullCalendar</Calendar>
             <Convention>Unadjusted</Convention>
             <TermConvention>Unadjusted</TermConvention>
             <Rule>Backward</Rule>
-        </Rules>
+          </Rules>
   	</OptionStripDefinition>
     <PaymentCalendar>ICE_FuturesUS,US-NERC</PaymentCalendar>
     <PaymentLag>5</PaymentLag>
     <PaymentConvention>MF</PaymentConvention>
   </OptionStripPaymentDates>
 </CommoditySpreadOptionData>
     \end{minted}
-    \caption{Commodity Option data}
+    \caption{Commodity Spread Option data}
     \label{lst:com_s_option_data}
 \end{listing}

Docs/UserGuide/tradedata/fxoption.tex

@@ -55,9 +55,11 @@ \subsubsection{FX Option}
 
 \item \lstinline!PayOffAtExpiry! [Optional] The allowable values are \emph{true} for payoff at expiry, or \emph{false} for payoff at exercise (relevant for \emph{American} style FxOptions). Defaults to \emph{true} if left blank or omitted.
 
+\item \lstinline!AutomaticExpiry! [Optional] The allowable values are \emph{true} indicating Automatic Exercise is applicable and  \emph{false} indicates that it is not. Used if the FXOption expiry date is on the currentdate or in the past, and the payment date is in the future - so that there still isan outstanding cashflow if the FXOption was in the money on the expiry date. Inthis case, if AutomaticExercise is applied, the FX fixingon the expiry date is used to automatically determine the payoff and thuswhether the option was exercised or not. Defaults to \emph{false} if left blank or omitted.
+
 \item An \lstinline!ExerciseDates! node where exactly one ExerciseDate date element must be given. For \emph{American} style FxOptions the ExerciseDate represents the Expiry date, i.e. they can be exercised up until this date. \\
 
-\item A \lstinline!PaymentData! [Optional] node can be added which defines the settlement date of the option payoff.
+\item A \lstinline!PaymentData! [Optional] node can be added which defines the settlement date of the option payoff. See  \lstinline!PaymentData! in \ref{ss:option_data}
 
 \item \lstinline!Premiums! [Optional]: Option premium amounts paid by the option buyer to the option seller. See section \ref{ss:premiums}
 

Docs/UserGuide/tradedata/swaption.tex

@@ -148,7 +148,7 @@ \subsubsection{Swaption}
 
 Allowable values:  See section \ref{ss:premiums}
 
-\item An \lstinline!ExerciseData! [Optional] node where one  \lstinline!Date! element is given, and one \lstinline!Price! element can optionally also be given.  See Listing \ref{lst:exercise_data}
+\item An \lstinline!ExerciseData! [Optional] node where one  \lstinline!Date! element must be given, and one \lstinline!Price! element can optionally also be given.  See Listing \ref{lst:exercise_data}
 
 This node marks the Swaption as exercised. If the \lstinline!ExerciseData! node is omitted it is assumed the Swaption has not been exercised. 
 
@@ -158,6 +158,8 @@ \subsubsection{Swaption}
   For a cash-settled Swaption, the \lstinline!Price! given in \lstinline!ExerciseData!
   represents the cash settlement amount. It is paid according to the \lstinline!PaymentData! node: If an explicit list of payment dates is given, the payment takes place on the next date following the effective exercise date. If the \lstinline!PaymentData! is rules-based, the payment date is derived from the effective exercise date using the given calendar, lag and convention.
 
+If a Swaption is cash-settled and has an \lstinline!ExerciseData! node with a \lstinline!Date!  but no \lstinline!Price!, then the Swaption is considered exercised on the given date, but without a settlement amount being paid.   
+  
  \begin{listing}[H]
 \begin{minted}[fontsize=\footnotesize]{xml}
 <ExerciseData>

Docs/UserGuide/tradedata/totalReturnSwap.tex

@@ -172,15 +172,15 @@ \subsubsection{Generic Total Return Swap / Contract for Difference (CFD)}
     (funding currency) or the currency of the underlying asset. Defaults to the return currency if omitted.
 
   \item FXTerms [Mandatory when underlying asset / return / additional cashflow / funding currencies differ]: If the
-    underlying currency is different from the funding currency, a node for the conversion underlying / funding currency
-    must be given. The same holds for the return and additional cashflow currencies: Whenever one of these currencies
-    are different from the funding currency, an FXIndex node for the conversion to the funding currency must be given. If multiple currencies differ, 
-    multiple FXIndex nodes must be given.
+    underlying asset currency is different from the return currency, an FXIndex for the conversion underlying / return currency
+    must be given. The same holds for the funding and additional cashflow currencies: Whenever one of these currencies
+    are different from the underlying currency, an FXIndex for the conversion to the underlying currency must be given. If multiple currencies differ, 
+    multiple FXIndex elements must be given.
 
     \begin{itemize}
-    \item FXIndex: The fx index to use for the conversion, this must contain the underlying asset / return / additional cashflow
-      currency and the funding leg currency (in the order defined in table \ref{tab:fxindex_data}, i.e. it does not
-      matter which one is the asset / return / additional cashflow currency and which is the funding currency)
+    \item FXIndex: The fx index to use for the conversion, this must contain the funding / return / additional cashflow
+      currency and the underlying asset currency (in the order defined in table \ref{tab:fxindex_data}, i.e. it does not
+      matter which one is the funding / return / additional cashflow currency and which is the underlying currency)
 
         Allowable values: see \ref{tab:fxindex_data}
     \end{itemize}