Clean Price


Key Clean Price in
Asset Swap refers to the clean price of the underlying bond entered in Bond as of the time of the swap's inception, which is the date when the floating leg starts accruing.
If that time refers to the future, then this is the forward clean price.
Note the number here is part of the asset swap contract and does not change after the contract has come into effect.
It is used to determine the bond's dirty price D, which then affects the swap cash flows depending on the type of the swap entered in
Structure
It turns out the following holds:

If Structure =
Par, only the upfront payment is affected because it is given by the formula (D-100)/100*N, where N is the bond's notional at swap's inception.

If Structure =
Market, the floating coupons are affected because they are based on the scaled notional given by the formula N*D/100