Asset swap (type: [...]) 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.
Answer
par-par (type "market" has similar structure, but par-par has non-zero PV, while market has 0 PV)
Tags
#asset-swap #finance
Question
Asset swap (type: [...]) 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.
Answer
?
Tags
#asset-swap #finance
Question
Asset swap (type: [...]) 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.
Answer
par-par (type "market" has similar structure, but par-par has non-zero PV, while market has 0 PV)
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calculating asset swap spread (par-par) Asset swap (type: market - same structure as par-par but at different price) 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
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measured difficulty
37% [default]
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