ONTOLOGY EXPLORER
equity variance swap
<https://spec.edmcouncil.org/fibo/ontology/DER/SecurityBasedDerivatives/EquitySwaps/EquityVarianceSwap>
プロパティと値
| プロパティ | 値 |
|---|---|
| type | Class |
| label | "equity variance swap"@en |
| subClassOf | DispersionSwap |
| subClassOf | EquitySwap |
| definition | "dispersion swap in which the parties agree to exchange payments based on the difference between (i) the realized variance of the price changes of a specified equity underlier over a stated observation period and (ii) a fixed amount of variance that is agreed when the contract is executed"@en |
| adaptedFrom | "ISO 10962, Securities and related financial instruments - Classification of financial instruments (CFI) code, Fifth edition, 2021-06-15"@en |
| explanatoryNote | "An equity variance swap is a forward swap that uses the variance (being the volatility squared) of an underlying's price movement over a period as the basis for the payoff calculation."@en |
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