complexType "BoundedVariance"
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Content: |
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Defined: |
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XML Representation Summary |
<...> |
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</...> |
Content Model Elements (4):
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All Direct / Indirect Based Elements (1):
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Annotation
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 Source (w/o annotations (5); see within schema source)
<xsd:sequence>
</xsd:sequence>
</xsd:complexType>
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Content Element Detail (all declarations; defined within this component only; 4/4)
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Type: |
xsd:boolean, predefined, simple content |
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.
XML Source (w/o annotations (1); see within schema source)
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All observations below this price level will be excluded from the variance calculation.
Simple Content
XML Source (w/o annotations (1); see within schema source)
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The contract specifies whether which price must satisfy the boundary condition.
Simple Content
Enumeration: |
"Previous" |
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For a return on day T, the observed price on T-1 must be in range.
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"Last" |
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For a return on day T, the observed price on T must be in range.
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"Both" |
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For a return on day T, the observed prices on both T and T-1 must be in range
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XML Source (w/o annotations (1); see within schema source)
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All observations above this price level will be excluded from the variance calculation.
Simple Content
XML Source (w/o annotations (1); see within schema source)