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#asset-swap #finance #gale-using-and-tradning-asset-swaps

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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p8

m the dealer at the maturity of the swap. The formula which must be solved for the MVA asset swap spread is: ∑∑ == ⋅+⋅⋅−⋅=⋅− floatfix n i iii n i i tdfSLa P tdfCTdfP 11 )()( 100 )()()100( Where <span>P is the price of the bond paid, df(t) is the discount factor to time, t, T is the maturity of the bond, L is the Libor setting, and S is the MVA swap spread. The left hand side is the present v

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