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pcaspersjenkins
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QPR-12121 consolidate barrier data
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Docs/UserGuide/tradecomponents/barrierdata.tex

Lines changed: 26 additions & 3 deletions
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@@ -14,7 +14,15 @@ \subsubsection{Barrier Data}
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FxTouchOptionData & \emph{American} \\
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FxDoubleTouchOptionData & \emph{American} \\
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FxDoubleBarrierOptionData & \emph{American} \\
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FxKIKOBarrierOptionData & \emph{American}
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FxKIKOBarrierOptionData & \emph{American} \\
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FxTaRFData & \emph{European} \\
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FxAccumulatorData & \emph{European, American} \\
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EquityTaRFData & \emph{European} \\
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EquityAccumulatorData & \emph{European, American} \\
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CommodityAccumulatorData & \emph{European, American} \\
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FxGenericBarrierOption & \emph{American} \\
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EquityGenericBarrierOption & \emph{American} \\
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CommodityGenericBarrierOption & \emph{American}
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\end{tabular}
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\caption{Supported barrier styles per trade data container}
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\label{tab:barrierstyles}
@@ -92,6 +100,9 @@ \subsubsection{Barrier Data}
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\item FxDigitalBarrierOptionData
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\item FxDoubleBarrierOptionData
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\item FxEuropeanBarrierOptionData
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\item FxGenericBarrierOptionData
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\item EquityGenericBarrierOptionData
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\item CommodityGenericBarrierOptionData
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\end{itemize}
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only. If defined for several ``in'' barriers, the amounts must be identical across all barrier definitions (because the
@@ -101,12 +112,24 @@ \subsubsection{Barrier Data}
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Allowable values: Any positive real number. Defaults to zero if omitted. Cannot be left blank.
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\item RebateCurrency [Optional]: The currency in which the rebate amount is paid. Defaults to the natural pay currency
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of the trade.
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of the trade. Deviating currencies are supported by the following trade types only:
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\begin{itemize}
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\item FxGenericBarrierOptionData
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\item EquityGenericBarrierOptionData
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\item CommodityGenericBarrierOptionData
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\end{itemize}
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Allowable Values: See Table \ref{tab:currency} \lstinline!Currency!.
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\item RebatePayTime [Optional]: For ``in'' barriers only atExpiry is allowed. For ``out'' barriers, both atExpiry and
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atHit is possible. If not given, defaults to ``atExpiry''.
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atHit is possible. If not given, defaults to ``atExpiry''. This field is only supported by the following trade types:
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\begin{itemize}
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\item FxGenericBarrierOptionData
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\item EquityGenericBarrierOptionData
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\item CommodityGenericBarrierOptionData
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\end{itemize}
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Allowable Values: \emph{atExpiry}, \emph{atHit}
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