TagField NameAbbr NameData TypeUnion DatatypeDescriptionPedigree
42478LegPaymentStreamRealizedVarianceMethodRlzdVarncMethint

Indicates which price to use to satisfy the boundary condition.


PaymentStreamRealizedVarianceMethodCodeSet
0=

Previous

For a return on day T, the observed price on T-1 must be in range.

Added EP208 [Previous]
1=

Last

For a return on day T, the observed price on T must be in range.

Added EP208 [Last]
2=

Both

For a return on day T, the observed prices on both T and T-1 must be in range.

Added EP208 [Both]
Added EP208
Used in components:
[LegPaymentStreamFloatingRate]