ONTOLOGY EXPLORER
dispersion swap
<https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Swaps/DispersionSwap>
プロパティと値
| プロパティ | 値 |
|---|---|
| type | Class |
| label | "dispersion swap"@en |
| seeAlso | volatility_trading.pdf |
| subClassOf | StatisticalSwap |
| subClassOf | _:c14n1861 |
| definition | "statistical derivative used to hedge on the magnitude of a price movement of an underlying asset"@en |
| explanatoryNote | "A variance swap is an instrument that allows investors to trade future realized (or historical) volatility against current implied volatility." |
| explanatoryNote | "Some strategies involve selling a variance swap on an index and buying the variance swaps on the individual constituents; this particular kind of spread trade is called a variance dispersion trade." |
| synonym | "variance swap"@en |