翻訳と辞書 Words near each other ・ Correlation clustering ・ Correlation coefficient ・ Correlation database ・ Correlation dimension ・ Correlation does not imply causation ・ Correlation function ・ Correlation function (astronomy) ・ Correlation function (disambiguation) ・ Correlation function (quantum field theory) ・ Correlation function (statistical mechanics) ・ Correlation immunity ・ Correlation inequality ・ Correlation integral ・ Correlation ratio ・ Correlation sum ・ Correlation swap ・ Correlation trading ・ Correlation Ventures ・ Correlations (album) ・ Correlative ・ Correlative rights doctrine ・ Correlative verse ・ Correlative-based fallacies ・ Correlator ・ Correlazione ・ Correll ・ Correll Buckhalter ・ Correll Nunatak ・ Correll's Farm and Lawn Supply ・ Correll, Minnesota Dictionary Lists mini英和辞書 mini和英辞書 Webster 1913 Latin-English FOLDOC Wikipedia English ウィキペディア

翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Correlation swap ： ウィキペディア英語版 Correlation swap A correlation swap is an over-the-counter financial derivative that allows one to speculate on or hedge risks associated with the observed average correlation, of a collection of underlying products, where each product has periodically observable prices, as with a commodity, exchange rate, interest rate, or stock index. == Payoff Definition == The fixed leg of a correlation swap pays the notional $N\_\}$, while the floating leg pays the realized correlation $\backslash rho\_\}\; (\backslash rho\_\})$ Given a set of nonnegative weights $w\_i$ on $n$ securities, the realized correlation is defined as the weighted average of all pairwise correlation coefficients $\backslash rho\_$: :$\backslash rho\_\}$ Typically $\backslash rho\_$ would be calculated as the Pearson correlation coefficient between the daily log-returns of assets ''i'' and ''j'', possibly under zero-mean assumption. Most correlation swaps trade using equal weights, in which case the realized correlation formula simplifies to: :$\backslash rho\_\backslash sum\_\{\backslash rho\_\{i,j\}\}$ 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Correlation swap」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.