Realised Correlation Swap
This Issue in United States
Realised Correlation Swap
Concept of Realised Correlation swap in the context of derivatives contract, by the International Swaps and Derivatives Association (ISDA): A swap (i.e. a derivative where two counterparties exchange streams of cashflows with each other) that uses the observed correlation between each component in a basket as a basis for the payoff calculation, (see Correlation Swap, Dispersion).
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See Also
- Derivatives Contract
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