Also a blended swap. It is a combination of two or more swaps. For instance, a blended interest rate swap is a combination of at least two interest rate swaps. In this type of swaps, payments are calculated on a weighted average of interest rates. Similarly, a blended equity swap is a combination of at least two basic equity swaps.
In such swaps, the equity leg payout is based on a weighted average of at least two equity indexes.
