翻訳と辞書 Words near each other ・ Varichikudy ・ Variciscala ・ Varick ・ Varick Frissell ・ Varick Park ・ Varick Street ・ Varick, New York ・ Varicocele ・ Varicode ・ Varicoglandina ・ Varicopeza ・ Varicopeza crystallina ・ Varicopeza pauxilla ・ Varicorhinus ・ Varicorhinus leleupanus ・ Variance swap ・ Variance-based sensitivity analysis ・ Variance-gamma distribution ・ Variance-stabilizing transformation ・ Variani ・ Varians Oolith Formation ・ Variant ・ Variant (magazine) ・ Variant (novel) ・ Variant Call Format ・ Variant Chinese character ・ Variant cover ・ Variant Creutzfeldt-Jakob disease ・ Variant form ・ Variant form (Unicode) 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 Variance swap ： ウィキペディア英語版 Variance swap A variance swap is an over-the-counter financial derivative that allows one to speculate on or hedge risks associated with the magnitude of movement, i.e. volatility, of some underlying product, like an exchange rate, interest rate, or stock index. One leg of the swap will pay an amount based upon the realized variance of the price changes of the underlying product. Conventionally, these price changes will be daily log returns, based upon the most commonly used closing price. The other leg of the swap will pay a fixed amount, which is the strike, quoted at the deal's inception. Thus the net payoff to the counterparties will be the difference between these two and will be settled in cash at the expiration of the deal, though some cash payments will likely be made along the way by one or the other counterparty to maintain agreed upon margin. ==Structure and features== The features of a variance swap include: * the variance strike * the realized variance * the vega notional: Like other swaps, the payoff is determined based on a notional amount that is never exchanged. However, in the case of a variance swap, the notional amount is specified in terms of vega, to convert the payoff into dollar terms. The payoff of a variance swap is given as follows: :$N\_\}^2-\backslash sigma\_\}$ = variance notional (a.k.a. variance units), *$\backslash sigma\_\}^2$ = variance strike. The annualised realised variance is calculated based on a prespecified set of sampling points over the period. It does not always coincide with the classic statistical definition of variance as the contract terms may not subtract the mean. For example, suppose that there are n+1 sample points $S\_\},\; ...,\; S\_\}\; =\; \backslash ln(S\_\}),$ the natural log returns. Then *$\backslash sigma\_\; \backslash sum\_\}\; R\_\}=\backslash frac$ where $N\_\{\backslash text\{vol\}\}$ is the corresponding vega notional for a volatility swap.〔 This makes the payoff of a variance swap comparable to that of a volatility swap, another less popular instrument used to trade volatility. 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「Variance 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.