Question
A correlation swap has four assets, fixed rate of 20%, notional amount of $1,000,000 and 1-year maturity. The realized correlation of the four assets at
A correlation swap has four assets, fixed rate of 20%, notional amount of $1,000,000 and 1-year maturity. The realized correlation of the four assets at swap maturity are as follows:
Sj=1 | Sj=2 | Sj=3 | Sj=4 | |
Si=1 | 1 | 0.5 | 0.1 | 0.3 |
Si=2 | 0.5 | 1 | 0.3 | 0.1 |
Si=3 | 0.1 | 0.3 | 1 | 0.3 |
Si=4 | 0.3 | 0.1 | 0.3 | 1 |
What is the payoff of the swap?
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To calculate the payoff of the correlation swap we need to compare the realized correlation values w...
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
