Add variable definition + omega

Author: sebastien.bouvard

Docs/UserGuide/pricing/extendedaccumulator.tex

@@ -4,10 +4,11 @@ \subsubsection{Extended Accumulator}
 An ExtendedAccumulator requires the party that is long to periodically buy an underlying asset A (FX, Equity, or Commodity) at a pre-determined strike price K.
 A feature of the ExtendedAccumulator is knock-out, i.e. the contract terminates early if a Barrier observed on a single date (the Extension Decision Date) is hit.
 $$
-PayOff= \sum LongShort \cdot FixingAmount \cdot (K - X_A(T))
+PayOff= \sum \omega \cdot FixingAmount \cdot (K - X_A(T))
 $$
 Where:
 \begin{itemize}
+\item $\omega \in \{-1,1\}$ is $1$ for a long and $-1$ for a short position
 \item $FixingAmount$: the fixing amount in currency/unit of A
 \item $K$: the 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).
 \item $X_A(T)$: the fixing value of the asset A at each observation date T

Docs/UserGuide/tradedata/extendedaccumulator.tex

@@ -146,9 +146,17 @@ \subsubsection{Extended Accumulator}
 PayOff Formula:
 
 $$
-PayOff = \sum LongShort \cdot N \cdot (K - X_A(T))
+PayOff = \sum \omega \cdot N \cdot (K - X_A(T))
 $$
 
+Where:
+\begin{itemize}
+\item $\omega \in \{-1,1\}$ is $1$ for a long and $-1$ for a short position
+\item $FixingAmount$: the fixing amount in currency/unit of A
+\item $K$: the 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).
+\item $X_A(T)$: the fixing value of the asset A at each observation date T
+\end{itemize}
+
 \begin{listing}[hbt]
 \begin{minted}[fontsize=\scriptsize]{Basic}