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Copy file name to clipboardExpand all lines: Docs/UserGuide/tradedata/swaption.tex
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@@ -142,7 +142,79 @@ \subsubsection{Swaption}
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\item\lstinline!ExerciseFeeSettlementConvention![Optional]: The roll convention used to compute the exercise fee settlement date from
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the exercise date. Defaults to \emph{Unadjusted} if not given. Allowable values: See Table \ref{tab:convention} Roll Convention.
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\item An \lstinline!ExerciseDates! node where exactly one \lstinline!ExerciseDate! date element must be given for \emph{European} style swaptions, and for \emph{Bermudan} style swaptions at least two \lstinline!ExerciseDate! date elements must be given. \\
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\item An \lstinline!ExerciseDates! node where for \emph{European} style swaptions exactly one \lstinline!ExerciseDate! date element must be given. \emph{Bermudan} style swaptions can have \lstinline!ExerciseDate! elements given directly (at least two \lstinline!ExerciseDate! elements must be given), or Rules or Dates based exercise dates. See Listings \ref{lst:bermudan_swaption_exercisedates}, \ref{lst:bermudan_swaption_rules} and \ref{lst:bermudan_swaption_dates}.
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\begin{listing}[H]
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\begin{minted}[fontsize=\footnotesize]{xml}
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<SwaptionData>
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<OptionData>
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<LongShort>Long</LongShort>
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<Style>Bermudan</Style>
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<Settlement>Physical</Settlement>
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<ExerciseDates>
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<ExerciseDate>2027-03-02</ExerciseDate>
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<ExerciseDate>2028-03-02</ExerciseDate>
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<ExerciseDate>2029-03-02</ExerciseDate>
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</ExerciseDates>
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...
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</OptionData>
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...
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\end{minted}
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\caption{Bermudan Swaption ExerciseDate:s}
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\label{lst:bermudan_swaption_exercisedates}
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\end{listing}
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\begin{listing}[H]
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\begin{minted}[fontsize=\footnotesize]{xml}
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<SwaptionData>
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<OptionData>
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<LongShort>Long</LongShort>
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<Style>Bermudan</Style>
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<Settlement>Physical</Settlement>
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<ExerciseDates>
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<Rules>
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<StartDate>2027-03-02</StartDate>
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<EndDate>2029-03-02</EndDate>
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<Tenor>1Y</Tenor>
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<Calendar>US</Calendar>
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<Convention>MF</Convention>
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<Rules>
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</ExerciseDates>
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...
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</OptionData>
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...
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\end{minted}
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\caption{Bermudan Swaption Rules based}
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\label{lst:bermudan_swaption_rules}
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\end{listing}
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\begin{listing}[H]
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\begin{minted}[fontsize=\footnotesize]{xml}
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<SwaptionData>
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<OptionData>
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<LongShort>Long</LongShort>
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<Style>Bermudan</Style>
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<Settlement>Physical</Settlement>
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<ExerciseDates>
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<Dates>
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<Calendar>NullCalendar</Calendar>
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<Convention>Unadjusted</Convention>
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<Dates>
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<Date>2027-03-02</Date>
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<Date>2028-03-02</Date>
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<Date>2029-03-02</Date>
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<Dates>
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<Dates>
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</ExerciseDates>
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...
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</OptionData>
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...
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\end{minted}
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\caption{Bermudan Swaption Dates based}
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\label{lst:bermudan_swaption_dates}
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\end{listing}
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\item\lstinline!Premiums! [Optional]: Option premium node with amounts paid by the option buyer to the option seller.
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