平价资产掉期价差:如何为资产掉期定价的说明

ERN: Swaps & Forwards (Topic) Pub Date : 2016-12-03 DOI:10.2139/ssrn.2809111

N. Burgess

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引用次数: 0

摘要

资产互换提供了一种资产融资形式，投资者借入资金购买资产，通常是债券。资产互换也是一个很好的债券富-廉价分析工具。这种互换当然可以用于投机目的。在本文中，我们简要概述了资产掉期，并推导了一个包含债券应计利息的资产掉期利差公式。最后，我们举例说明了如何计算收益率-收益率和par-par资产互换价差使用流动性的10年期德国国债。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Par-Par Asset Swap Spreads: An Illustration of How to Price Asset Swaps

Asset swaps provide a form of asset financing, where investors borrow funds to purchase an asset, typically a bond. Asset swaps are also a good bond rich-cheap analysis tool. Such swaps can of course be used for speculative purposes. In this paper we provide a brief overview of asset swaps and derive a par-par asset swap spread formula incorporating bond accrued interest. Finally we illustrate how to calculate both the yield-yield and par-par asset swap spread using the liquid 10 year German Bund.

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ERN: Swaps & Forwards (Topic)

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