Skip to content

Commit 97043d3

Browse files
committed
Merge branch 'feature/QPR-13696' into 'master'
QPR-13696: Fix Equity Pairwise Variance Swap doc Closes QPR-13696 See merge request qs/oreplus!3062
2 parents f913545 + 20a9a0e commit 97043d3

1 file changed

Lines changed: 4 additions & 1 deletion

File tree

Docs/UserGuide/tradedata/var_and_vol_derivatives.tex

Lines changed: 4 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -1431,7 +1431,10 @@ \subsubsection{Pairwise Variance Swap}
14311431
The payout formula is:
14321432

14331433
\begin{equation*}
1434-
Payout = \min \Big( \max(equityAmount1 + equityAmount2 + equityAmountBasket, LowerLimit), UpperLimit \Big)
1434+
\begin{split}
1435+
Payout = \min \Big\{ \max \big( & equityAmount1 + equityAmount2 \\
1436+
& + equityAmountBasket,\; \text{LowerLimit} \big),\; \text{UpperLimit} \Big\}
1437+
\end{split}
14351438
\end{equation*}
14361439

14371440
where

0 commit comments

Comments
 (0)