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#asset-swap #finance #gale-using-and-tradning-asset-swaps
In yield/yield asset swap, the trade is duration hedged, but not convexity hedged.
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p4

eld/yield asset s waps is relatively simple. But it is important to take account of the following when tracking the perfo rmanc e of a yield/yield trade: • Cash flows are not matched, so carry needs to be calculated on both legs . • <span>The trade is du ration hedged, but not convexit y hedged. The first step is to determine ho w many basis points the yield spread has moved in your favour or agai nst you and to multiply this by the risk of the trade. Illustrating this with a


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