A correlation measure that reflects the level of linear relationship between two assets or more within a specific period of time, which is implied by the prices observed in a respective market. Implied correlation is a factor in pricing structured products which are by nature multimarket financial instruments. It expresses an investor’s expectation of the relationship between two or more primary valuation variables or parameters. For example, evaluating best-of or worst-of options on two assets would require figuring out of the correlations among volatilities of underlying prices. Likewise, a swaption can be evaluated by analyzing the correlations among volatilities of a set of forward rates that underlie component caps and floors.