Docs: corrected the defaults for IndexTerm on IndexCDSOption

Author: Sjogren

Docs/UserGuide/tradedata/indexcdsoption.tex

@@ -33,9 +33,21 @@ \subsubsection{Index Credit Default Swap Option}
 \begin{itemize}
 
 \item
-\lstinline!IndexTerm! [Optional]: An optional node giving the term of the underlying index CDS e.g.\ 3Y, 5Y, 7Y, 10Y etc. The main function of this node is to allow for different index CDS option volatility structures for different terms of the same index series e.g.\ a CDX HY Series 34 5Y volatility structure and a CDX HY Series 34 10Y volatility structure. If this node is omitted, the market is searched for a CDS volatility surface with ID equal to the value of the \lstinline!CreditCurveId! node under \lstinline!IndexCreditDefaultSwapData!. There will generally be one \lstinline!CreditCurveId! for each index CDS series e.g.\ \lstinline!CDXHYS34V1! for CDX HY Series 34 Version 1. Consequently, there can only be one CDS volatility surface for this index CDS series. When \lstinline!IndexTerm! is populated with the underlying index term, the market is searched for a CDS volatility surface with ID equal to the value of the \lstinline!CreditCurveId! node with suffix \lstinline!-[IndexTerm]!. For example, if the \lstinline!CreditCurveId! node on an index CDS option trade is \lstinline!CDXHYS34V1! and the \lstinline!IndexTerm! node is populated with \lstinline!5Y!, the market will be searched for a CDS volatility surface with ID \lstinline!CDXHYS34V1-5Y! and this will be used in the trade valuation. In this way, different volatility surfaces can be used to value different terms of the same CDS index series.
-
-Allowable values: A string that can be parsed as a term that is a valid term for the underlying CDS index e.g.\ \emph{5Y}, \emph{10Y}, etc. Defaults to \emph{5Y} if omitted.
+\lstinline!IndexTerm! [Optional]: An optional node giving the term of the underlying index CDS e.g.\ 3Y, 5Y, 7Y, 10Y etc. 
+The main function of this node is to allow for different index CDS option volatility structures for different terms of the 
+same index series e.g.\ a CDX HY Series 34 5Y volatility structure and a CDX HY Series 34 10Y volatility structure. 
+If this node is omitted, the market is searched for a CDS volatility surface with ID equal to the value of the \lstinline!CreditCurveId! 
+node under \lstinline!IndexCreditDefaultSwapData!. There will generally be one \lstinline!CreditCurveId! for each index CDS series 
+e.g.\ \lstinline!CDXHYS34V1! for CDX HY Series 34 Version 1. Consequently, there can only be one CDS volatility surface for this index CDS 
+series. When \lstinline!IndexTerm! is populated with the underlying index term, the market is searched for a CDS volatility surface with 
+ID equal to the value of the \lstinline!CreditCurveId! node with suffix \lstinline!-[IndexTerm]!. For example, if the \lstinline!CreditCurveId! 
+node on an index CDS option trade is \lstinline!CDXHYS34V1! and the \lstinline!IndexTerm! node is populated with \lstinline!5Y!, the market will 
+be searched for a CDS volatility surface with ID \lstinline!CDXHYS34V1-5Y! and this will be used in the trade valuation. 
+In this way, different volatility surfaces can be used to value different terms of the same CDS index series.
+
+Allowable values: A string that can be parsed as a term that is a valid term for the underlying CDS index e.g.\ \emph{5Y}, \emph{10Y}, etc. \\
+If omitted, the \lstinline!IndexTerm! is derived from the given StartDate and EndDate of the underlying IndexCDS. Note that, with \lstinline!IndexTerm! omitted, 
+these dates have to match the start / end dates of the actual underlying IndexCDS, otherwise the trade will fail.
 
 \item
 \lstinline!OptionData!: A node defining the option details as described in Section \ref{ss:option_data}.