Tags
Question
What is the par/par asset swap formula?
$$P-100=C\sum_{i=1}^{n_{fix}}df(t_i)-\sum_{i=1}^{n_{float}}a_i(L_i+S)df(t_i)$$

Tags
Question
What is the par/par asset swap formula?
?

Tags
Question
What is the par/par asset swap formula?
$$P-100=C\sum_{i=1}^{n_{fix}}df(t_i)-\sum_{i=1}^{n_{float}}a_i(L_i+S)df(t_i)$$
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#### pdf

owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p6

yments to the seller on a s wap for the life of the bond. • The bu yer’s receipts on the floating leg of the swap are adjusted by a fixed spread suc h that the present value of the swap equals the upfront implicit loan of P-100 . The <span>formula, then, that must be solved for the par/par asset swap spread is: ∑ ∑ = = ⋅ + − ⋅ = − float fix n i i i i n i i t df S L a t df C P 1 1 ) ( ) ( ) ( 100 The formula simply says that

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