XML Schema Documentation

Complex Type: BoundedVariance

[Table of contents]

Super-types: None
Sub-types: None
Name BoundedVariance
Used by (from the same schema document) Complex Type Variance
Abstract no
Documentation A type describing variance bounds, which are used to exclude money price values outside of the specified range In a Up Conditional Swap Underlyer price must be equal to or higher than Lower Barrier In a Down Conditional Swap Underlyer price must be equal to or lower than Upper Barrier In a Corridor Conditional Swap Underlyer price must be equal to or higher than Lower Barrier and must be equal to or lower than Upper Barrier.
XML Instance Representation
<...>
<realisedVarianceMethod> RealisedVarianceMethodEnum </realisedVarianceMethod> [1]

'The contract specifies whether which price must satisfy the boundary condition.'

<daysInRangeAdjustment> xsd:boolean </daysInRangeAdjustment> [1]

'The contract specifies whether the notional should be scaled by the Number of Days in Range divided by the Expected N. The number of Days in Ranges refers to the number of returns that contribute to the realized volatility.'

<upperBarrier> NonNegativeDecimal </upperBarrier> [0..1]

'All observations above this price level will be excluded from the variance calculation.'

<lowerBarrier> NonNegativeDecimal </lowerBarrier> [0..1]

'All observations below this price level will be excluded from the variance calculation.'

</...>
Diagram
Schema Component Representation
<xsd:complexType name="BoundedVariance">
<xsd:sequence>
<xsd:element name="realisedVarianceMethod" type=" RealisedVarianceMethodEnum "/>
<xsd:element name="daysInRangeAdjustment" type=" xsd:boolean "/>
<xsd:element name="upperBarrier" type=" NonNegativeDecimal " minOccurs="0"/>
<xsd:element name="lowerBarrier" type=" NonNegativeDecimal " minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>

Generated by <oXygen/> XML Editor using a modified version of xs3p that adds schema diagrams and chunking support.