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.



#asset-swap #finance #gale-using-and-tradning-asset-swaps
In the yield accrete asset swap methodology, we don’t know what the pull- to-par will be in a changing yield environment , of course.
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), p9

exchange this amount for a floating yield based on Libor (Libor+S). Just as a 4% yield on a bond worth $150 at settlement should ‘pay’ $6 net in the first year, the floating amount will be calculated on the price of the bond each year. <span>We don’t know what the pull- to-par will be in a changing yield environment, of course, but we can approximate it over the life of the bond. One sensible way of doing this is by assuming the yield to maturity is constant, in our view. Other schedules, such as a linea



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.