Merge branch 'feature/martin_docs1' into 'master'

added settlementdata to legdatanotionalsplus, added description of ExtendedFxForwardSwap and split listing

See merge request qs/oreplus!3059

Author: pcaspers

Docs/UserGuide/tradedata/extendedfxforwardswap.tex

@@ -2,6 +2,8 @@ \subsubsection{Extended Fx Forward Swap}
 
 Extended Fx Forward Swap are represented as scripted trades, refer to appendix A for an introduction. Listing \ref{lst:extendedfxforwardswap} shows the structure of an example.
 
+An Extended Fx Forward Swap is like an FxAccumulator with regular and conditional observation and settlement dates. After the regular observation dates a European barrier is applied on the Extension Decision Date. If the barrier is  hit the trade terminates, otherwise the trade continues with cashflows generated on the conditional observation dates.
+
 \begin{listing}[H]
 \begin{minted}[fontsize=\footnotesize]{xml}
 <Trade id="ExtendedForward">
@@ -63,6 +65,13 @@ \subsubsection{Extended Fx Forward Swap}
                         <Date>2020-03-31</Date>
                         <Date>2020-04-30</Date>
                         <Date>2020-05-29</Date>
+\end{minted}
+\caption{Extended Fx Forward Swap Representation}
+\label{lst:extendedfxforwardswap}
+\end{listing}
+
+\begin{listing}[H]
+\begin{minted}[fontsize=\footnotesize]{xml}                        
                         <Date>2020-06-30</Date>
                         <Date>2020-07-31</Date>
                         <Date>2020-08-31</Date>
@@ -115,8 +124,8 @@ \subsubsection{Extended Fx Forward Swap}
     </ScriptedTradeData>
 </Trade>
 \end{minted}
-\caption{Extended Fx Forward Swap Representation}
-\label{lst:extendedfxforwardswap}
+\caption{Extended Fx Forward Swap Representation, continued}
+\label{lst:extendedfxforwardswap2}
 \end{listing}
 
 The meanings and allowable values of the elements in the \verb+Extended Fx Forward Swap+  representation follow below.

Docs/UserGuide/tradedata/var_and_vol_derivatives.tex

@@ -1,4 +1,4 @@
-\subsubsection{Exotic Variance and Volatility Derivatives}
+\subsubsection*{Exotic Variance and Volatility Derivatives}
 \label{SubSectionExoticVarianceSwap}
 
 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}
 
 Trade input and the associated payoff script are described in the following for 12 supported variations.
 
-\subsubsection*{Variance Option}
+\subsubsection{Variance Option}
 
 The traditional trade representation is as follows, using an EQ underlying in this example:
 
@@ -191,7 +191,7 @@ \subsubsection*{Variance Option}
         Allowable values: See Table \ref{tab:currency}  for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Variance Swap with KI/KO Barrier}
+\subsubsection{Variance Swap with KI/KO Barrier}
 
 The traditional trade representation is as follows, using an FX underlying in this example:
 
@@ -360,7 +360,7 @@ \subsubsection*{Variance Swap with KI/KO Barrier}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Dual European Binary Option with Volatility and Spot KO Barrier}
+\subsubsection{Dual European Binary Option with Volatility and Spot KO Barrier}
 
 The traditional trade representation is as follows, using an EQ underlying in this example:
 
@@ -474,7 +474,7 @@ \subsubsection*{Dual European Binary Option with Volatility and Spot KO Barrier}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Corridor Variance Swap}
+\subsubsection{Corridor Variance Swap}
 
 The traditional trade representation is as follows, using an FX underlying in this example:
 
@@ -649,7 +649,7 @@ \subsubsection*{Corridor Variance Swap}
         Allowable values: See Table \ref{tab:currency}  for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Indexed Corridor Variance Swap}
+\subsubsection{Indexed Corridor Variance Swap}
 
 The traditional trade representation is as follows, using EQ underlyings in this example:
 
@@ -820,7 +820,7 @@ \subsubsection*{Indexed Corridor Variance Swap}
         Allowable values: See Table \ref{tab:currency}  for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Corridor Variance Swap with KI/KO Barrier}
+\subsubsection{Corridor Variance Swap with KI/KO Barrier}
 
 The traditional trade representation is as follows, using an EQ underlying in this example:
 
@@ -1008,7 +1008,7 @@ \subsubsection*{Corridor Variance Swap with KI/KO Barrier}
         Allowable values: See Table \ref{tab:currency}  for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Conditional Variance Swap 01}
+\subsubsection{Conditional Variance Swap 01}
 
 The traditional trade representation is as follows, using an FX underlying in this example:
 
@@ -1187,7 +1187,7 @@ \subsubsection*{Conditional Variance Swap 01}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Conditional Variance Swap 02}
+\subsubsection{Conditional Variance Swap 02}
 
 The traditional trade representation is as follows, using an FX underlying in this example:
 
@@ -1372,7 +1372,7 @@ \subsubsection*{Conditional Variance Swap 02}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Pairwise Variance Swap}
+\subsubsection{Pairwise Variance Swap}
 
 The \lstinline!FxPairwiseVarianceSwap! and \lstinline!EquityPairwiseVarianceSwap! trade types
 have trade data containers (respectively):
@@ -1664,7 +1664,7 @@ \subsubsection*{Pairwise Variance Swap}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Variance Dispersion Swap}
+\subsubsection{Variance Dispersion Swap}
 
 The traditional trade representation is as follows, using EQ underlyings in this example:
 
@@ -1875,7 +1875,7 @@ \subsubsection*{Variance Dispersion Swap}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Corridor Variance Dispersion Swap}
+\subsubsection{Corridor Variance Dispersion Swap}
 
 This instrument is a variance dispersion swap with a corridor feature, where variance is accrued only when the
 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}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{KO Corridor Variance Dispersion Swap}
+\subsubsection{KO Corridor Variance Dispersion Swap}
 
 This instrument is a variance dispersion swap with a double-barrier knock-out and a corridor feature.
 
@@ -2387,7 +2387,7 @@ \subsubsection*{KO Corridor Variance Dispersion Swap}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Pairwise Geometric Variance Dispersion Swap}
+\subsubsection{Pairwise Geometric Variance Dispersion Swap}
 
 The traditional trade representation is as follows, using EQ underlyings in this example:
 
@@ -2569,7 +2569,7 @@ \subsubsection*{Pairwise Geometric Variance Dispersion Swap}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Gamma Swap}
+\subsubsection{Gamma Swap}
 
 The traditional trade representation is as follows, using EQ underlyings in this example:
 
@@ -2668,7 +2668,7 @@ \subsubsection*{Gamma Swap}
         Allowable values: See Table \ref{tab:currency} for allowable currency codes.
 \end{itemize}
 
-\subsubsection*{Basket Variance Swap}
+\subsubsection{Basket Variance Swap}
 
 The \lstinline!FxBasketVarianceSwap! and \lstinline!EquityBasketVarianceSwap! \lstinline!CommodityBasketVarianceSwap! trade types
 have trade data containers (respectively):