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FRM®知识点：Correlation Swap
文章来源：网络
发布时间：2022-01-12 16:07
阅读：365次
Paying a fixed rate in a correlation swap is also called buying correlation. This is becasuse the present value of the correlation swap will increase for the correlation buyer if the realized correlation increases. Naturally the fixed rate receiver is selling correlation.
综上所述，可以归纳为：
如果correlation上升，可做pay fixed，realized correlation
如果correlation下降，可做pay realized correlation，receiver fixed
A correlation swap with a fixed 10% correlation rate
The payoff of a correlation swap for the correlation fixed rate payer at maturity is (where N is the notional amount) : N(ρrealized-ρfixed)【点击免费下载>>>更多FRM学习相关资料】
What is the payoff of a correlation swap with three assets, a fixed rate of 10%, a notional amount of $1000000, and a 1-year maturity?
Table:correlation
Hence we have ρrealized={2/(3^2-3)}(0.5+0.3+0.1)=0.3
The payoff for the correlation fixed rate payer at swap maturity is $1000000×(0.3-0.1)=$200000.
Correlation swaps can indirectly protect against decreasing stock prices.
互换间接保护股价下跌时的利益
When stocks decrease, typically the correlation between the stocks increases.
当股价下跌或者金融危机时，ρ会上升，可以对冲一些股价下跌带来的损失。
Hence a fixed correlation payer protects himself indirectly against a stock market decline.
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