Inflation-Linked Bonds Asset Swaps
Posted: March 15th, 2006, 2:03 pm
Hello,For an asset swap on a inflation-linked bond, is/should the time decay (theta effect) on the swap be cancelled by the theta effect (carry) on the bond? If there are differences between the two, which is the reason? Could it be the mismatch between the value date (J+3) on a bond trade and the value date (J+2) on the swap?Thank you