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par/par asset swap
#asset-swap #finance #gale-using-and-tradning-asset-swaps
Spread: Spread applied to floating leg such that Swap PV = 100 – Bond DP
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p3

y hedged. Re-hedging will be needed on large yield curve moves. The most simple ASW transaction Good when the yield curve is flat. Very poor when comparing bonds with very different coupons and the yield curve is steep. Par/Par <span>Spread: Spread applied to floating leg such that Swap PV = 100 – Bond DP Trade: Bond bought for par, plus a swap. Swap fixed schedule matches bond coupons. Floating schedule is [Libor + Spread]. Notional is Par. For given bond price, par/par swap



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