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Padaiu
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Posts: 37
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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