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Today we continued working through the changes needed to support statistical swaps, including correlation and variance swaps. We moved a number of definitions from equity swaps up to swaps, and sorted out definitions for the broader concepts. The results are captured in DER-75 (work in progress).
Remaining work that we haven't touched based on last week's notes (i.e., remaining todos after today) includes migration of correlation leg from equity swaps to swaps, and ensuring that we have the following kinds of legs defined:
- dividend stream for a single stock (we have this)
- change in value for a single share
- change in value for a basket of shares
- change in value for an index
- value of a dividend stream for a basket of shares
- comparison of the change in value of a given share or basket or index against something else - for example, a single share against an index, which is the thing you are cross-correlating with the volatility of the share
Some of these are already included under equity observable, though we don't describe them in terms of the change in value of the observable. To really capture this notion, we'll need to construct something new that covers the notion of change in value and that then references the possible underlying concepts.
Some of the details are below, from the chat log.
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