Asset Swap


Asset Swap is a direct subtype of Swap
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with functions Asset Swap Functions, keys Asset Swap keys and example object AssetSwap

TYPE INCLUSION RELATIONSHIPS

Swap

Asset Swap

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AVAILABLE FUNCTIONS

Create

Fair Spread

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AVAILABLE CREATE FUNCTION KEYS

Bond

Clean Price

Direction

Ibor DC

Ibor Rule

Ibor Schedule

Index

Spread

Start

Structure

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TYPICAL OBJECTS OF TYPE Asset Swap

AssetSwap

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This type 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 Structure
In formal terms:
Each floating ibor-linked payment equals:
N(I+s)Δt
where I is the realized value of the index of type Term Rate 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 Structure 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 Model[Asset Swap]