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#asset-swap #finance #gale-using-and-tradning-asset-swaps
Par/par asset swap depends on the dirty price of the bond, as can be seen simply from its formula.
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p7

MORGAN STANLEY FIXE D INCOME RESE ARCH See additional important disclosures at the end of this report. 7 May 11, 2006 Using and Trading Asset S waps Interest Rate Strat egy depends on the dirty price of the bon d, as can be seen simply from the formula above. These questions ar e discussed more fully on page 12. Default If the bond defaults, the buyer’s claim is on t he recovery value of the bond. But the buyer must continue to pay on



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