Nov2018 Vol-Var-Corr Swap Supp to 1998
Publication of the November 2018 Volatility Swap, Variance Swap and Correlation Swap Supplement to the 1998 ISDA FX and Currency Option Definitions (the “Supplement”)
The Supplement updates the June 2013 Volatility Swap and Variance Swap Supplement to the 1998 ISDA FX and Currency Option Definitions by:
- Extending coverage to correlation swaps; and
- Incorporating the most recent version of Annex A to the FX Definitions.
The update also includes some additional tidy ups and clarifications.