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Tags
#asset-swap #finance #gale-using-and-tradning-asset-swaps
Question
The yield accrete asset swap spread, S , solves the following equation:
Answer
\(\Large C\sum_{i=1}^{n_{fix}} df(t_i)=\sum_{i=1}^{n_{float}}[a_i(L_i+S)N_i+(N_i-N_{i-1})]df(t_i)\)

where N are estimates of bond price for given future periods

Tags
#asset-swap #finance #gale-using-and-tradning-asset-swaps
Question
The yield accrete asset swap spread, S , solves the following equation:
Answer
?

Tags
#asset-swap #finance #gale-using-and-tradning-asset-swaps
Question
The yield accrete asset swap spread, S , solves the following equation:
Answer
\(\Large C\sum_{i=1}^{n_{fix}} df(t_i)=\sum_{i=1}^{n_{float}}[a_i(L_i+S)N_i+(N_i-N_{i-1})]df(t_i)\)

where N are estimates of bond price for given future periods
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The yield accrete asset swap spread, S , solves the following equation: C∑nfixi=1df(ti)=∑nfloati=1[ai(Li+S)Ni+(Ni−Ni−1)]df(ti) where N are estimates of bond price for given future periods

Original toplevel document (pdf)

owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p9

The yield accrete asset swap spread, S , solves the following equation: C∑nfixi=1df(ti)=∑nfloati=1[ai(Li+S)Ni+(Ni−Ni−1)]df(ti) where N are estimates of bond price for given future periods


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