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1 | | -\subsubsection{Exotic Variance and Volatility Derivatives} |
| 1 | +\subsubsection*{Exotic Variance and Volatility Derivatives} |
2 | 2 | \label{SubSectionExoticVarianceSwap} |
3 | 3 |
|
4 | 4 | These are vanilla variance/volatility swaps and options on an underlying with some additional payoff features, |
@@ -54,7 +54,7 @@ \subsubsection{Exotic Variance and Volatility Derivatives} |
54 | 54 |
|
55 | 55 | Trade input and the associated payoff script are described in the following for 12 supported variations. |
56 | 56 |
|
57 | | -\subsubsection*{Variance Option} |
| 57 | +\subsubsection{Variance Option} |
58 | 58 |
|
59 | 59 | The traditional trade representation is as follows, using an EQ underlying in this example: |
60 | 60 |
|
@@ -191,7 +191,7 @@ \subsubsection*{Variance Option} |
191 | 191 | Allowable values: See Table \ref{tab:currency} for allowable currency codes. |
192 | 192 | \end{itemize} |
193 | 193 |
|
194 | | -\subsubsection*{Variance Swap with KI/KO Barrier} |
| 194 | +\subsubsection{Variance Swap with KI/KO Barrier} |
195 | 195 |
|
196 | 196 | The traditional trade representation is as follows, using an FX underlying in this example: |
197 | 197 |
|
@@ -360,7 +360,7 @@ \subsubsection*{Variance Swap with KI/KO Barrier} |
360 | 360 | Allowable values: See Table \ref{tab:currency} for allowable currency codes. |
361 | 361 | \end{itemize} |
362 | 362 |
|
363 | | -\subsubsection*{Dual European Binary Option with Volatility and Spot KO Barrier} |
| 363 | +\subsubsection{Dual European Binary Option with Volatility and Spot KO Barrier} |
364 | 364 |
|
365 | 365 | The traditional trade representation is as follows, using an EQ underlying in this example: |
366 | 366 |
|
@@ -474,7 +474,7 @@ \subsubsection*{Dual European Binary Option with Volatility and Spot KO Barrier} |
474 | 474 | Allowable values: See Table \ref{tab:currency} for allowable currency codes. |
475 | 475 | \end{itemize} |
476 | 476 |
|
477 | | -\subsubsection*{Corridor Variance Swap} |
| 477 | +\subsubsection{Corridor Variance Swap} |
478 | 478 |
|
479 | 479 | The traditional trade representation is as follows, using an FX underlying in this example: |
480 | 480 |
|
@@ -649,7 +649,7 @@ \subsubsection*{Corridor Variance Swap} |
649 | 649 | Allowable values: See Table \ref{tab:currency} for allowable currency codes. |
650 | 650 | \end{itemize} |
651 | 651 |
|
652 | | -\subsubsection*{Indexed Corridor Variance Swap} |
| 652 | +\subsubsection{Indexed Corridor Variance Swap} |
653 | 653 |
|
654 | 654 | The traditional trade representation is as follows, using EQ underlyings in this example: |
655 | 655 |
|
@@ -820,7 +820,7 @@ \subsubsection*{Indexed Corridor Variance Swap} |
820 | 820 | Allowable values: See Table \ref{tab:currency} for allowable currency codes. |
821 | 821 | \end{itemize} |
822 | 822 |
|
823 | | -\subsubsection*{Corridor Variance Swap with KI/KO Barrier} |
| 823 | +\subsubsection{Corridor Variance Swap with KI/KO Barrier} |
824 | 824 |
|
825 | 825 | The traditional trade representation is as follows, using an EQ underlying in this example: |
826 | 826 |
|
@@ -1008,7 +1008,7 @@ \subsubsection*{Corridor Variance Swap with KI/KO Barrier} |
1008 | 1008 | Allowable values: See Table \ref{tab:currency} for allowable currency codes. |
1009 | 1009 | \end{itemize} |
1010 | 1010 |
|
1011 | | -\subsubsection*{Conditional Variance Swap 01} |
| 1011 | +\subsubsection{Conditional Variance Swap 01} |
1012 | 1012 |
|
1013 | 1013 | The traditional trade representation is as follows, using an FX underlying in this example: |
1014 | 1014 |
|
@@ -1187,7 +1187,7 @@ \subsubsection*{Conditional Variance Swap 01} |
1187 | 1187 | Allowable values: See Table \ref{tab:currency} for allowable currency codes. |
1188 | 1188 | \end{itemize} |
1189 | 1189 |
|
1190 | | -\subsubsection*{Conditional Variance Swap 02} |
| 1190 | +\subsubsection{Conditional Variance Swap 02} |
1191 | 1191 |
|
1192 | 1192 | The traditional trade representation is as follows, using an FX underlying in this example: |
1193 | 1193 |
|
@@ -1372,7 +1372,7 @@ \subsubsection*{Conditional Variance Swap 02} |
1372 | 1372 | Allowable values: See Table \ref{tab:currency} for allowable currency codes. |
1373 | 1373 | \end{itemize} |
1374 | 1374 |
|
1375 | | -\subsubsection*{Pairwise Variance Swap} |
| 1375 | +\subsubsection{Pairwise Variance Swap} |
1376 | 1376 |
|
1377 | 1377 | The \lstinline!FxPairwiseVarianceSwap! and \lstinline!EquityPairwiseVarianceSwap! trade types |
1378 | 1378 | have trade data containers (respectively): |
@@ -1664,7 +1664,7 @@ \subsubsection*{Pairwise Variance Swap} |
1664 | 1664 | Allowable values: See Table \ref{tab:currency} for allowable currency codes. |
1665 | 1665 | \end{itemize} |
1666 | 1666 |
|
1667 | | -\subsubsection*{Variance Dispersion Swap} |
| 1667 | +\subsubsection{Variance Dispersion Swap} |
1668 | 1668 |
|
1669 | 1669 | The traditional trade representation is as follows, using EQ underlyings in this example: |
1670 | 1670 |
|
@@ -1875,7 +1875,7 @@ \subsubsection*{Variance Dispersion Swap} |
1875 | 1875 | Allowable values: See Table \ref{tab:currency} for allowable currency codes. |
1876 | 1876 | \end{itemize} |
1877 | 1877 |
|
1878 | | -\subsubsection*{Corridor Variance Dispersion Swap} |
| 1878 | +\subsubsection{Corridor Variance Dispersion Swap} |
1879 | 1879 |
|
1880 | 1880 | This instrument is a variance dispersion swap with a corridor feature, where variance is accrued only when the |
1881 | 1881 | the price of the first underlying of each pair of underlyings (between the first and second basket) falls within |
@@ -2106,7 +2106,7 @@ \subsubsection*{Corridor Variance Dispersion Swap} |
2106 | 2106 | Allowable values: See Table \ref{tab:currency} for allowable currency codes. |
2107 | 2107 | \end{itemize} |
2108 | 2108 |
|
2109 | | -\subsubsection*{KO Corridor Variance Dispersion Swap} |
| 2109 | +\subsubsection{KO Corridor Variance Dispersion Swap} |
2110 | 2110 |
|
2111 | 2111 | This instrument is a variance dispersion swap with a double-barrier knock-out and a corridor feature. |
2112 | 2112 |
|
@@ -2387,7 +2387,7 @@ \subsubsection*{KO Corridor Variance Dispersion Swap} |
2387 | 2387 | Allowable values: See Table \ref{tab:currency} for allowable currency codes. |
2388 | 2388 | \end{itemize} |
2389 | 2389 |
|
2390 | | -\subsubsection*{Pairwise Geometric Variance Dispersion Swap} |
| 2390 | +\subsubsection{Pairwise Geometric Variance Dispersion Swap} |
2391 | 2391 |
|
2392 | 2392 | The traditional trade representation is as follows, using EQ underlyings in this example: |
2393 | 2393 |
|
@@ -2569,7 +2569,7 @@ \subsubsection*{Pairwise Geometric Variance Dispersion Swap} |
2569 | 2569 | Allowable values: See Table \ref{tab:currency} for allowable currency codes. |
2570 | 2570 | \end{itemize} |
2571 | 2571 |
|
2572 | | -\subsubsection*{Gamma Swap} |
| 2572 | +\subsubsection{Gamma Swap} |
2573 | 2573 |
|
2574 | 2574 | The traditional trade representation is as follows, using EQ underlyings in this example: |
2575 | 2575 |
|
@@ -2668,7 +2668,7 @@ \subsubsection*{Gamma Swap} |
2668 | 2668 | Allowable values: See Table \ref{tab:currency} for allowable currency codes. |
2669 | 2669 | \end{itemize} |
2670 | 2670 |
|
2671 | | -\subsubsection*{Basket Variance Swap} |
| 2671 | +\subsubsection{Basket Variance Swap} |
2672 | 2672 |
|
2673 | 2673 | The \lstinline!FxBasketVarianceSwap! and \lstinline!EquityBasketVarianceSwap! \lstinline!CommodityBasketVarianceSwap! trade types |
2674 | 2674 | have trade data containers (respectively): |
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