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.



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
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), 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



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.