RealisedVarianceMethodEnum
Enum CDM 7.2.0The contract specifies which price must satisfy the boundary condition. Used for variance, volatility and correlation caps and floors.
Values 3
Namespace cdm.product.asset
Values
3 permitted values.
| Value | Description |
|---|---|
| Previous | For a return on day T, the observed price on T-1 must be in range. |
| Last | For a return on day T, the observed price on T must be in range. |
| Both | For a return on day T, the observed prices on both T and T-1 must be in range |
Referenced by
1 type holds a RealisedVarianceMethodEnum as an attribute.
Functions
Model functions that produce or consume this type. These are the CDM's own behaviour — the logic a correct implementation has to match.
| Function | Role | Description |
|---|---|---|
| MapRealisedVarianceMethodEnum | returns | — |
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