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#asset-swap #finance #gale-using-and-tradning-asset-swaps
The yield accrete asset swap spread, S , solves the following equation:
\(\Large C\sum_{i=1}^{n_{fix}} df(t_i)=\sum_{i=1}^{n_{float}}[a_i(L_i+S)N_i+(N_i-N_{i-1})]df(t_i)\)
where N are estimates of bond price for given future periods
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p9

307 17-Feb-15 $ 100,000,000 ($ 5,625,000) $ 100,000,000 $ 3,386,049 5.219% $ 2,587,734 $ 5,973,783 ($ 91,327,698) $ 91,327,650 Source: Morgan Stanley Because the swap is at market, collateralisation does not complicate the transaction. <span>The yield accrete spread, S, solves the following equation: [] ∑∑ = + = ⋅−+⋅+⋅=⋅ floatfix n i iiiiii n i i tdfNNNSLatdfC 1 1 1 )()()()( Where the symbols are as for the par/par methodology and N i is the notional amount of the floating leg of the swap, calculated according to a compounded or other amortisation/accret


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