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#asset-swap #finance #gale-using-and-tradning-asset-swaps
received (equal to the coupon rate) and the present value of the floatin
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p8

he bond, L is the Libor setting, and S is the MVA swap spread. The left hand side is the present value of the final payment. The right hand side contains the present value of the fixed payments <span>received (equal to the coupon rate) and the present value of the floating payments of Libor less the spread based on a notional of P. Notice the similarity with the equation for the par asset swap. It can be shown that: P SS parparMVA 100 / ⋅= Where S MVA is



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