clarified how ExerciseData works for Swaptions and CallableSwaps

Author: Martin Sjogren

Docs/UserGuide/tradedata/swaption.tex

@@ -105,7 +105,7 @@ \subsubsection{Swaption}
 \item \lstinline!NoticeConvention![Optional]: The roll convention used to compute the notice date from the exercise date. Defaults to
   \emph{Unadjusted} if not given. Allowable values: See Table \ref{tab:convention} Roll Convention.
 
-\item  \lstinline!Settlement!: Delivery Type. The allowable values are \emph{Cash} or \emph{Physical}.
+\item  \lstinline!Settlement!: Delivery Type. The allowable values are \emph{Cash} or \emph{Physical}. Note that for TradeType \emph{CallableSwap} only \emph{Physical} is allowed.
 
 \item \lstinline!SettlementMethod![Optional]: Specifies the method to calculate the settlement amount for Swaptions and CallableSwaps. Allowable values: \emph{PhysicalOTC}, \emph{PhysicalCleared}, \emph{CollateralizedCashPrice}, \emph{ParYieldCurve}. Defaults to \emph{ParYieldCurve} if Settlement is \emph{Cash} and defaults to \emph{PhysicalOTC} if Settlement is \emph{Physical}.
 
@@ -148,12 +148,29 @@ \subsubsection{Swaption}
 
 Allowable values:  See section \ref{ss:premiums}
 
-\item \lstinline!ExerciseData! [Optional]: Marks the swaption as exercised. The effective date is the next exercise date
-  greater or equal the given date in ExerciseData. For a cash-settled swaption, the price given in ExerciseData
-  represents the cash settlement amount. It is paid according to the PaymentData: If an explicit list of dates is given,
-  the payment takes place on the next date following the effective exercise date. If the payment data is rules-based,
-  the payment date is derived from the effective exercise date using the given calendar, lag and convention (only
-  ``Exercise'' is allowed in the RelativeTo field).
+\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}
+
+This node marks the Swaption as exercised. If the \lstinline!ExerciseData! node is omitted it is assumed the Swaption has not been exercised. 
+
+The effective exercise date is the next \lstinline!ExerciseDate! in the \lstinline!ExerciseDates! node
+  greater or equal the given \lstinline!Date!  in \lstinline!ExerciseData!. 
+  
+  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.
+  
+ \begin{listing}[H]
+\begin{minted}[fontsize=\footnotesize]{xml}
+<ExerciseData>
+  <Date>2023-09-03</Date>
+  <Price>112000</Price>
+</ExerciseData>
+\end{minted}
+\caption{ExerciseData to mark a Swaption or CallableSwap as exercised}
+\label{lst:exercise_data}
+\end{listing}
+  
+\item A \lstinline!PaymentData! [Optional] node can be added which defines dates or rules-based settlement date(s) for cash-settled Swaptions.  Note that if rules-based, only \emph{Exercise} is allowed in the \lstinline!RelativeTo! field for Swaptions. See  \lstinline!PaymentData! in \ref{ss:option_data}
+
 
 \end{itemize}