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ASW spread calc!!!
Question on ASW....Hi,How do I go from ASW to a bond price.I want to replicate it in a sheet where the input would be ASW spread and output would be price of a bond.What are the steps I should take.tnx
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- Martinghoul
- Posts: 188
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ASW spread calc!!!
What sort of ASW? It's trivial for yield/yield asw.
ASW spread calc!!!
You need to price the present value of the Swap,the swap receives the fixed rate of the bond (first coupon is FULL COUPON)and pays Libor (usualy 3M) + ASW margin.Then par plus the PV of the Swap will give you the DIRTY price of the bond.voila.