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Tags
#asset-swap #finance #gale-using-and-tradning-asset-swaps
Question
Is par/par asset swap duration-hedged?
Answer
No

Tags
#asset-swap #finance #gale-using-and-tradning-asset-swaps
Question
Is par/par asset swap duration-hedged?
Answer
?

Tags
#asset-swap #finance #gale-using-and-tradning-asset-swaps
Question
Is par/par asset swap duration-hedged?
Answer
No
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One problem with the par/par asset swap methodology is that the trade is not duration hedged.

Original toplevel document (pdf)

owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p6

One problem with the par/par asset swap methodology is that the trade is not duration hedged.


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