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#asset-swap #finance #gale-using-and-tradning-asset-swaps
Most short term (less than three to six months) views on governments versus the swaps curve are expressed as yield/yield asset swap spread because of simplicity of the methodology.
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p4

swap. The investor makes money as the spread widens since the bond yield fa lls relative to the swap rate. The advantage of the yield/yield me thodolog y is its simplicity. Yield/yield ass et swaps are easy to execute and monitor. <span>Most short term (less than three to six months) vie ws on governments versus the s waps curve are expressed in this way because of this. There are problems with this technique, however. Carry estimations are complicated because cash fl ows are not matched and the positio n is not convexity hedged. F inally ther


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