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quantobe
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Posts: 5
Joined: May 13th, 2009, 10:27 am

Total return swap reset frequency

October 4th, 2017, 4:37 pm

Hi,

Consider equity or fixed income total return swap, with resetting feature. reset dates being the dates at which reference asset's price appreciation or depreciation are settled. Are reference asset's reset frequency usually bigger than payment (Funding) leg's payment frequency? i.e. are usually ref asset reset dates subset of payment dates Or the other way round? could you please provide example trade?

This is probably a trivial question for those of you who deal with resetting TRS on a daily basis but I am new to them so I don't know. 

Thanks in advance.
 
User avatar
quantobe
Topic Author
Posts: 5
Joined: May 13th, 2009, 10:27 am

Re: Total return swap reset frequency

October 5th, 2017, 7:44 am

Any takers please ? Does that question make sense ? 
The reason for question is that I am trying to implement a very generic TRS, if it helps.