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).

Resources

See Also

• Derivatives Contract