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‎Docs/UserGuide/tradedata/extendedaccumulator.tex‎

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@@ -5,128 +5,87 @@ \subsubsection{Extended Accumulator}
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An Extended Accumulator is like an Accumulator with regular and conditional observation and settlement dates. After the regular observation dates a European barrier is applied on
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the Extension Decision Date. If the barrier is hit the trade terminates, otherwise the trade continues with cashflows generated on the conditional observation dates.
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\begin{listing}[H]
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Trade id="ExtendedAccumulator">
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<TradeType>ScriptedTrade</TradeType>
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<Envelope>
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<CounterParty>CPTY_A</CounterParty>
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<NettingSetId>CRIF_20191230</NettingSetId>
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<PortfolioIds/>
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<AdditionalFields/>
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</Envelope>
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<ScriptedTradeData>
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<ScriptName>ExtendedAccumulator</ScriptName>
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<Data>
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<Event>
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<Name>ObservationDates</Name>
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<ScheduleData>
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<Dates>
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<Calendar/>
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<Tenor/>
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<Dates>
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<Date>2019-09-30</Date>
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<Date>2019-10-31</Date>
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<Date>2019-11-28</Date>
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<Date>2019-12-31</Date>
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<Date>2020-01-30</Date>
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<Date>2020-02-27</Date>
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</Dates>
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</Dates>
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</ScheduleData>
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</Event>
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<Event>
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<Name>ObservationSettlementDates</Name>
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<ScheduleData>
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<Dates>
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<Calendar/>
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<Tenor/>
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<Dates>
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<Date>2019-10-02</Date>
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<Date>2019-11-02</Date>
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<Date>2019-12-30</Date>
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<Date>2020-01-02</Date>
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<Date>2020-02-03</Date>
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<Date>2020-03-30</Date>
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</Dates>
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</Dates>
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</ScheduleData>
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</Event>
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<Event>
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<Name>ExtensionDecisionDate</Name>
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<Value>2020-02-25</Value>
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</Event>
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<Event>
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<Name>ConditionalObservationDates</Name>
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<ScheduleData>
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<Dates>
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<Calendar/>
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<Tenor/>
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<Dates>
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<Date>2020-03-31</Date>
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<Date>2020-04-30</Date>
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<Date>2020-05-29</Date>
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<Date>2020-06-30</Date>
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<Date>2020-07-31</Date>
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<Date>2020-08-31</Date>
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</Dates>
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</Dates>
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</ScheduleData>
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</Event>
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<Event>
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<Name>ConditionalSettlementDates</Name>
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<ScheduleData>
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<Dates>
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<Calendar/>
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<Tenor/>
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<Dates>
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<Date>2020-03-31</Date>
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<Date>2020-04-30</Date>
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<Date>2020-05-29</Date>
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<Date>2020-06-30</Date>
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<Date>2020-07-31</Date>
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<Date>2020-08-31</Date>
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</Dates>
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</Dates>
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</ScheduleData>
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</Event>
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<Number>
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<Name>LongShort</Name>
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<Value>1</Value>
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</Number>
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<Number>
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<Name>FixingAmount</Name>
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<Value>840336</Value>
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</Number>
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<Number>
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<Name>Strike</Name>
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<Value>1.19</Value>
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</Number>
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<Number>
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<Name>ExtensionTrigger</Name>
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<Value>1.19</Value>
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</Number>
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<Index>
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<Name>Underlying</Name>
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<Value>FX-ECB-EUR-USD</Value>
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</Index>
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<Currency>
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<Name>PayCurrency</Name>
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<Value>USD</Value>
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</Currency>
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</Data>
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</ScriptedTradeData>
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\begin{minted}[fontsize=\scriptsize]{xml}
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<Trade id="FxExtendedAccumulatorLong">
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<TradeType>ScriptedTrade</TradeType>
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<Envelope>
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<CounterParty>CPTY_A</CounterParty>
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<NettingSetId>CRIF_20191230</NettingSetId>
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<AdditionalFields/>
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</Envelope>
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<ExtendedAccumulatorData>
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<LongShort type="longShort">Long</LongShort>
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<FixingAmount type="number">840336</FixingAmount>
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<Strike type="number">1.19</Strike>
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<PayCurrency type="currency">USD</PayCurrency>
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<Underlying type="index">FX-ECB-EUR-USD</Underlying>
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<ObservationDates type="event">
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<ScheduleData>
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<Dates>
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<Dates>
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<Date>2019-09-30</Date>
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<Date>2019-10-31</Date>
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<Date>2019-11-28</Date>
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<Date>2019-12-31</Date>
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<Date>2020-01-30</Date>
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<Date>2020-02-27</Date>
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</Dates>
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</Dates>
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</ScheduleData>
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</ObservationDates>
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<ObservationSettlementDates type="event">
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<ScheduleData>
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<Dates>
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<Dates>
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<Date>2019-10-02</Date>
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<Date>2019-11-02</Date>
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<Date>2019-12-30</Date>
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<Date>2020-01-02</Date>
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<Date>2020-02-03</Date>
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<Date>2020-03-30</Date>
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</Dates>
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</Dates>
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</ScheduleData>
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</ObservationSettlementDates>
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<ExtensionDecisionDate type="event">2020-02-25</ExtensionDecisionDate>
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<ExtensionTrigger type="number">1.19</ExtensionTrigger>
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<ConditionalObservationDates type="event">
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<ScheduleData>
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<Dates>
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<Dates>
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<Date>2020-03-31</Date>
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<Date>2020-04-30</Date>
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<Date>2020-05-29</Date>
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<Date>2020-06-30</Date>
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<Date>2020-07-31</Date>
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<Date>2020-08-31</Date>
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</Dates>
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</Dates>
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</ScheduleData>
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</ConditionalObservationDates>
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<ConditionalSettlementDates type="event">
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<ScheduleData>
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<Dates>
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<Dates>
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<Date>2020-03-31</Date>
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<Date>2020-04-30</Date>
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<Date>2020-05-29</Date>
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<Date>2020-06-30</Date>
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<Date>2020-07-31</Date>
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<Date>2020-08-31</Date>
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</Dates>
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</Dates>
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</ScheduleData>
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</ConditionalSettlementDates>
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</ExtendedAccumulatorData>
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</Trade>
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\end{minted}
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\caption{Extended Accumulator Representation}
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\label{lst:extendedaccumulator}
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\end{listing}
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The meanings and allowable values of the elements in the \verb+Extended Accumulator+ representation follow below.
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\begin{itemize}
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\item LongShort: Defines whether the trade is long or short, i.e long means one buys the underlying asset and short sells the underlying asset at each observation date. \\
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Allowable values: \emph{Long, Short}
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Allowable values: \emph{Long, Short}
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\item Strike: For Fx, the Fx strike rate is defined as amount in domestic currency (CCY2) for one unit of foreign currency (CCY1). For Equity and Commodity: The strike value for one unit/share/contract of the underlying equity or commodity, expressed in the domestic currency (CCY2).
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\item Underlying: Underlying index. For Fx: Value is a string of the form FX-SOURCE-CCY1-CCY2 where CCY1 is the foreign currency, CCY2 is the domestic currency, and SOURCE is the fixing source.\\
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Allowable values: See Section \ref{data_index} for allowable values.

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