April 28th, 2011, 6:50 pm
What is the meaning of an asset swap box? Fo example JGB 10-7yr ASW box. How do you put on that trade? Does it mean that you go long the 7Y bond and pay the 7Y swap rate (and receive floating) and short the 10Y bond and receive the 10Y swap rate (and pay floating, presumably using the 7Y floating rates to pay the 10Y floating). Any help appreciated!