VarianceCapFloor
Type CDM 7.2.0The model carries no description for this type.
Extends —
Extended by —
Attributes 3
Namespace cdm.product.asset
Attributes
All 3 declared on VarianceCapFloor. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| varianceCap | boolean | 1..1 | If present and true, then variance cap is applicable. |
| unadjustedVarianceCap | number | 0..1 | For use when varianceCap is applicable. Contains the scaling factor of the Variance Cap that can differ on a trade-by-trade basis in the European market. For example, a Variance Cap of 2.5^2 x Variance Strike Price has an unadjustedVarianceCap of 2.5. |
| boundedVariance | BoundedVariance | 0..1 | Conditions which bound variance. The contract specifies one or more boundary levels. These levels are expressed as prices for confirmation purposes Underlyer price must be equal to or higher than Lower Barrier is known as Up Conditional Swap Underlyer price must be equal to or lower than Upper Barrier is known as Down Conditional Swap Underlyer price must be equal to or higher than Lower Barrier and must be equal to or lower than Upper Barrier is known as Barrier Conditional Swap. |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
PositiveUnadjustedVarianceCap Condition
Unadjusted variance cap must be positive
if unadjustedVarianceCap exists then unadjustedVarianceCap > 0 CapFloorApplicability Condition
Caps/floors can and must be specified if varianceCap is set to true. If false, barriers cannot be established
if varianceCap = True
then unadjustedVarianceCap exists or boundedVariance exists // If CapFloor is applicable at least one cap expression must exist
else unadjustedVarianceCap is absent and boundedVariance is absent // If CapFloor is not applicable, then there cannot be any volatility capsReferenced by
1 type holds a VarianceCapFloor as an attribute.
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