Asset Swap is a of with functions , keys and example object that represents a bond-based asset swap, whereby some specific bond and its coupons are exchanged between two counterparties.
The exact structure of the exchange depends on the swap's
In formal terms:
Each floating ibor-linked payment equals:
where I is the realized value of the ibor rate index at the begining of each floating coupon period.
Further on, s is the entry in Spread and Δt is the length of the respective accrual period.
N refers to the applicable notional, which depending on an entry of type may equal either the bond's notional or the bond's market price at swap's inception.
The coupon denomination currency is assumed to be that of the index.
Web reference available here
The pricing methodology is specified in