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Padaiu
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Posts: 6
Joined: June 10th, 2009, 3:41 pm

Swap Portfolio returns

October 8th, 2018, 8:21 pm

Hi
Im trying to figure out the daily return of an IRS portfolio. What returns shall we use : log returns or arithmetic returns? 
How to deal with negative values for log returns, when the Swap strategy I am trying to evaluate goes from positive value today to negative value?
Any advice? The aim is to work out the portfolio/strategy Sharpe ratio.
Thanks for sharing ideas!
 
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wickedwit
Posts: 15
Joined: August 6th, 2011, 3:48 pm

Re: Swap Portfolio returns

August 3rd, 2019, 2:24 pm

people generally like log returns for volatility but you could also just use the daily total returns, or convert to basis points change to compare to swaption markets.