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Tags
#asset-swap #finance #gale-using-and-tradning-asset-swaps
Question
What's the formula for MVA asset swap?
Answer
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Tags
#asset-swap #finance #gale-using-and-tradning-asset-swaps
Question
What's the formula for MVA asset swap?
Answer
\((P-100)df(T)=C\sum_{i=1}^{n_{fix}}df(t_i)-\frac{P}{100}\sum_{i=1}^{n_{float}}a_i(L_i+S)df(t_i)\)

Tags
#asset-swap #finance #gale-using-and-tradning-asset-swaps
Question
What's the formula for MVA asset swap?
Answer
\((P-100)df(T)=C\sum_{i=1}^{n_{fix}}df(t_i)-\frac{P}{100}\sum_{i=1}^{n_{float}}a_i(L_i+S)df(t_i)\)
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pdf

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

qual 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 . • The investor receives P-100 from the dealer at the maturit y of the swap . The <span>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 ( Where P is the p


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repetition number in this series0memorised on               scheduled repetition               
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