calculating asset swap spread (par-par)

#asset-swap #finance

Asset swap (type: par-par - same structure as market but at different price, i.e. PV. "market" has 0 PV) is a difference between bond quoted price and implied strip price of the same bond (implied price of cashflows against a specific yield curve), quoted as the spread on the floating swap side that matches the maturity of the bond.


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Topic ID 22

posted by: PiotrWasik

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first message: 10:46, Friday, December 19, 2014

last message: 10:46, Friday, December 19, 2014

messages count: 1

not a great explanation. better check flashcards from #gale-using-and-tradning-asset-swaps pdf