Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Swap-spread trade » ?

Definition 12.1 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Chapitre 12 — Swap-Spread and Asset-Swap Trades

A swap-spread trade combines a government bond with an interest rate swap of the same maturity so that the position gains when the swap spread moves: long the spread is long the bond (financed in repo) and paying fixed in the swap, which earns the bond yield over the swap rate plus the floating rate over repo, and gains when the spread widens.

Lire dans le chapitre →