BoundedVariance
Type CDM 7.2.0The model carries no description for this type.
Extends —
Extended by —
Attributes 4
Namespace cdm.product.asset
Attributes
All 4 declared on BoundedVariance. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| realisedVarianceMethod | RealisedVarianceMethodEnum | 1..1 | The contract specifies which price must satisfy the boundary condition. |
| daysInRangeAdjustment | boolean | 1..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 | number | 0..1 | All observations above this price level will be excluded from the variance calculation. |
| lowerBarrier | number | 0..1 | All observations below this price level will be excluded from the variance calculation. |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
NonNegativeBarriers Condition
Barriers cannot be set to negative values
if upperBarrier exists
then upperBarrier >= 0 and if lowerBarrier exists
then lowerBarrier >= 0Referenced by
1 type holds a BoundedVariance as an attribute.
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