Price Correlation Structure
A Price Correlation Structure is a World Variable which is used to specify a collection of Price Correlations between pairs of securities. [These correlations must be calculated using
prices of both securities in the same Price Currency.]
The main use of a Price Correlation is to facilitate the conversion of a
security's Price Volatility from one price currency into another.
The following is a display of a Price Correlation Structure:
In order to examine how the data has been set up, select one of the items in
the list box with the Price Correlation Structure Data. For example, selecting
"RM_PCS_CAD_DEM" will display:
This display shows that the correlation between the USD price of the currency
CAD and the USD price of the currency DEM is currently -0.146895 .
The correlation formula shows that the current value is obtained from an External Data Variable called CAD_XS_DEM_XS_CORD.
Naming Convention:
The Price Correlation Structure Data names are automatically created by
alphabetically adding the currency names to the end of the name chosen for the Price
Correlation Structure.