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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 , while the floating leg pays the realized correlation Given a set of nonnegative weights on securities, the realized correlation is defined as the weighted average of all pairwise correlation coefficients : : Typically 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: : 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
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