Multi-colour Rainbow

This Issue in United States

Multi-colour Rainbow

Concept of Multi-colour Rainbow in the context of derivatives contract, by the International Swaps and Derivatives Association (ISDA): A strategy which pays out the weighted performance of each of the constituents of a basket; the key being that the weightings assigned to each basket constituent are not known on inception but are assigned at valuation, usually based on the performance of each constituent for example the best performing may receive highest (or lowest) weighting and the worst performing will receive lowest (or highest) weighting.

Resources

See Also

• Derivatives Contract