Do you want BuboFlash to help you learning these things? Or do you want to add or correct something? Click here to log in or create user.



#asset-swap #finance #gale-using-and-tradning-asset-swaps
In MVA asset swap, the investor receives P-100 from the dealer at the maturity of the swap
If you want to change selection, open document below and click on "Move attachment"

pdf

owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p8

receipts on the floating le g of the swap, which is based on a notional amount equal to the dirty price of the bond, are adjusted by a fixed spread such th at the future value of the swap equals the excess paid ov er par, P-100 . • <span>The investor receives P-100 from the dealer at the maturit y of the swap. The formula which must be solved for the MVA asset swap spread is: ∑ ∑ = = ⋅ + ⋅ ⋅ − ⋅ = ⋅ − float fix n i i i i n i i t df S L a P t df C T df P 1 1 ) ( ) ( 100 ) ( ) ( ) 100 ( W



Summary

statusnot read reprioritisations
last reprioritisation on suggested re-reading day
started reading on finished reading on

Details


Discussion

Do you want to join discussion? Click here to log in or create user.