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
last interval [days]
repetition number in this series
scheduled repetition interval
last repetition or drill
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