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Merge remote-tracking branch 'origin/master' into feature/QPR-13646
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‎Docs/UserGuide/tradedata/var_and_vol_derivatives.tex‎

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@@ -34,6 +34,8 @@ \subsubsection{Exotic Variance and Volatility Derivatives}
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\hline
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Variance Dispersion Swap & \lstinline!VarianceDispersionSwap! \\
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\hline
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Dual European Binary Option with Volatility and Spot KO Barrier & \lstinline!DualEuroBinaryOptionDoubleKO! \\
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\hline
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Corridor Variance Dispersion Swap & \lstinline!CorridorVarianceDispersionSwap! \\
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\hline
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Corridor Variance Dispersion Swap with KO Barrier & \lstinline!KOCorridorVarianceDispersionSwap! \\
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Allowable values: See Table \ref{tab:currency} for allowable currency codes.
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\end{itemize}
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\subsubsection*{Dual European Binary Option with Volatility and Spot KO Barrier}
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The traditional trade representation is as follows, using an EQ underlying in this example:
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\begin{minted}[fontsize=\scriptsize]{xml}
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<Trade id="DualEuroBinaryOptionDoubleKO">
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<TradeType>ScriptedTrade</TradeType>
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<Envelope>
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....
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</Envelope>
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<DualEuroBinaryOptionDoubleKOData>
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<LongShort type="longShort">Long</LongShort>
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<SettlementDate type="event">2020-07-20</SettlementDate>
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<SettlementAmount type="number">100000000</SettlementAmount>
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<ValuationSchedule type="event">
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<ScheduleData>
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<Rules>
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<StartDate>2020-01-15</StartDate>
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<EndDate>2020-07-10</EndDate>
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<Tenor>1D</Tenor>
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<Calendar>US</Calendar>
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<Convention>Following</Convention>
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<TermConvention>Following</TermConvention>
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<Rule>Forward</Rule>
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</Rules>
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</ScheduleData>
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</ValuationSchedule>
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<SpotBarrierLevel type="number">0.05</SpotBarrierLevel>
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<VolBarrierLevel type="number">6.75</VolBarrierLevel>
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<VolBarrierDate type="event">2020-07-18</VolBarrierDate>
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<Underlying type="index">FX-ECB-JPY-USD</Underlying>
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<PayCcy type="currency">USD</PayCcy>
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<Expiry type="event">2020-07-15</Expiry>
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<Premium type="number">0</Premium>
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<PremiumDate type="event">2020-07-18</PremiumDate>
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</DualEuroBinaryOptionDoubleKOData>
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</Trade>
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\end{minted}
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The DualEuroBinaryOptionDoubleKO script referenced in the trade above is shown in listing
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\ref{lst:DualEuroBinaryOptionDoubleKO}
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\begin{listing}[hbt]
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\begin{minted}[fontsize=\scriptsize]{Basic}
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NUMBER d, realisedVariance, realisedVolatility, currPrice, pay;
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NUMBER prevPrice, payoff, strike, TriggerProbability, premium, expectedN, Alive;
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Alive = 1;
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FOR d IN (2, SIZE(ValuationSchedule), 1) DO
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currPrice = Underlying(ValuationSchedule[d]);
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prevPrice = Underlying(ValuationSchedule[d-1]);
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IF currPrice >= SpotBarrierLevel THEN
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Alive = 0;
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END;
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realisedVariance = realisedVariance + pow(ln(currPrice/prevPrice), 2);
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END;
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expectedN = SIZE(ValuationSchedule) - 1;
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realisedVolatility = 100 * sqrt((252/expectedN)) * sqrt(realisedVariance);
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IF Alive == 1 THEN
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FOR d IN (2, SIZE(ValuationSchedule), 1) DO
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IF {{VolBarrierDate == ValuationSchedule[d]} AND {realisedVolatility <= VolBarrierLevel}} THEN
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Alive = 0;
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END;
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END;
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END;
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IF Alive == 1 THEN
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TriggerProbability = 1;
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payoff = SettlementAmount;
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premium = PAY(Premium, Expiry, PremiumDate, PayCcy);
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pay = PAY(payoff, Expiry, SettlementDate, PayCcy);
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Option = pay - premium;
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END;
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\end{minted}
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\caption{Payoff script for a DualEuroBinaryOptionDoubleKO.}
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\label{lst:DualEuroBinaryOptionDoubleKO}
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\end{listing}
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The meanings and allowable values for the \lstinline!DualEuroBinaryOptionDoubleKO! node below.
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\begin{itemize}
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\item{}[longShort] \lstinline!LongShort!: Own party position in the option. \emph{Long} corresponds to receiving the settlement amount at expiry. \\
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Allowable values: \emph{Long, Short}.
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\item{}[index] \lstinline!Underlying!: Underlying index. \\
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Allowable values: See Section \ref{data_index} for allowable values.
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\item{}[event] \lstinline!ValuationSchedule!: The schedule defining the (daily) observation period for the variance accrual. \\
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Allowable values: See Section \ref{ss:schedule_data}.
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\item{}[number] \lstinline!SpotBarrierLevel!: The agreed Spot barrier level. \\
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Allowable values: Any non-negative real number.
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\item{}[number] \lstinline!VolBarrierLevel!: The agreed volatility barrier level. \\
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Allowable values: Any non-negative real number.
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\item{}[event] \lstinline!VolBarrierDate!: The date on which the realised volatility event is determined. \\
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Allowable values: See \lstinline!Date! in Table \ref{tab:allow_stand_data}.
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\item{}[number] \lstinline!SettlementAmount!: The settlement amount. \\
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Allowable values: Any non-negative real number.
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\item{}[event] \lstinline!SettlementDate!: The date on which the option payoff is settled. \\
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Allowable values: See \lstinline!Date! in Table \ref{tab:allow_stand_data}.
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\item{}[event] \lstinline!PremiumDate!: The date on which the option premium is paid. \\
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Allowable values: See \lstinline!Date! in Table \ref{tab:allow_stand_data}.
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\item{}[number] \lstinline!Premium!: The option premium. \\
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Allowable values: Any non-negative real number.
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\item{}[currency] \lstinline!PayCcy!: The payment currency. For FX, where the underlying is provided
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in the form \lstinline!FX-SOURCE-CCY1-CCY2! (see Table \ref{tab:fxindex_data}) this should
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be \lstinline!CCY2!. If \lstinline!CCY1! or the currency of the underlying (for EQ and
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COMM underlyings), this will result in a quanto payoff. Notice section \ref{sss:payccy_st}. \\
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Allowable values: See Table \ref{tab:currency} for allowable currency codes.
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\end{itemize}
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\subsubsection*{Corridor Variance Swap}
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The traditional trade representation is as follows, using an FX underlying in this example:

‎xsd/instruments.xsd‎

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<xs:element type="gammaSwapData" name="GammaSwapData"/>
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<xs:element type="bestEntryOptionData" name="BestEntryOptionData"/>
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<xs:element type="dualEuroBinaryOptionData" name="DualEuroBinaryOptionData"/>
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<xs:element type="dualEuroBinaryOptionDoubleKOData" name="DualEuroBinaryOptionDoubleKOData"/>
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<xs:element type="volBarrierOptionData" name="VolatilityBarrierOptionData"/>
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<xs:element type="tarfData2" name="FxTaRFData"/>
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<xs:element type="tarfData2" name="EquityTaRFData"/>
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</xs:all>
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</xs:complexType>
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<xs:complexType name="dualEuroBinaryOptionDoubleKOData">
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<xs:all>
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<xs:element type="stFreeStyleLongShort" name="LongShort"/>
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<xs:element type="stFreeStyleIndex" name="Underlying"/>
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<xs:element type="stFreeStyleEventSchedule" name="ValuationSchedule"/>
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<xs:element type="stFreeStyleNumber" name="VolBarrierLevel"/>
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<xs:element type="stFreeStyleEvent" name="VolBarrierDate"/>
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<xs:element type="stFreeStyleNumber" name="SpotBarrierLevel"/>
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<xs:element type="stFreeStyleEvent" name="SettlementDate"/>
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<xs:element type="stFreeStyleNumber" name="SettlementAmount"/>
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<xs:element type="stFreeStyleEvent" name="Expiry"/>
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<xs:element type="stFreeStyleNumber" name="Premium"/>
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<xs:element type="stFreeStyleEvent" name="PremiumDate"/>
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<xs:element type="stFreeStyleCurrency" name="PayCcy"/>
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</xs:all>
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</xs:complexType>
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<xs:complexType name="arcOptionData">
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<xs:all>
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<xs:element type="stFreeStyleLongShort" name="LongShort"/>

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