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===[[Delta]]=== | ===[[Delta]]=== | ||
A [[delta]] of 1 gives a one-for-one [[correlation]] with the return of the [[underlying]]. A delta of -1 does the exact opposite of what the | A [[delta]] of 1 gives a one-for-one [[correlation]] with the return of the [[underlying]]. A [[delta]] of -1 does the exact opposite of what the [[underlier]] is doing: If [[underlier]] goes up, [[swap]] necessarily goes down by the same amount. A [[delta]] of 0 means the return on the two products is completely unconnected. <br> | ||