element <volatilityStrikePrice> (local)
Namespace: |
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Type: |
xsd:decimal |
Content: |
simple |
Defined: |
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XML Representation Summary |
<volatilityStrikePrice> |
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Content: |
{ xsd:decimal } |
</volatilityStrikePrice> |
Included in content model of elements (1):
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Annotation
Specifies the volatility strike price when this strike is expressed in standard deviation units. Payments on the variance leg are equal to the national amount multiplied by the realized volatility squared minus the volatility strike price squared. Notional amount * (realized volatility^2 - volatility strike^2). Squaring the volatility strike price converts the volatility strike price into a variance strike price. Squaring the realized volatility converts realized volatility to realized variance.
XML Source (w/o annotations (1); see within schema source)