Before revision: The realised characteristics for Discretisation-Invariant (DI) swaps satisfy the aggregation propertywhen restricted to multivariate processes that are ]  deterministic functions of martingales.
After revision: The realised characteristics for Discretisation-Invariant (DI) swaps satisfy the aggregation propertywhen restricted to multivariate processes that are ] for twice continuously differentiable deterministic functions of martingales.