Serving the Quantitative Finance Community

Search found 1 match

by ratzingm
October 25th, 2002, 11:49 am
Forum: Technical Forum
Topic: Asset Swaps and ASCOTs
Replies: 1
Views: 190516

Asset Swaps and ASCOTs

<t>Fixed income investors prefer asset swaps in order to avoid interest rate risk: they receive LIBOR + spread for holding an asset at par.Hedge funds trade ASCOTS as they (often) cannot trade swaps for lack of credit lines with their counterparties. From a risk point of view (Greeks), only rho is d...