HullRMFI2ndEdCh14金融风险管理.pptVIP

Risk Management and Financial Institutions 2e, Chapter 14, Copyright ? John C. Hull 2009 Asset Swaps (page 299) Suppose asset swap spread for a particular corporate bond is 150 basis points One side pays coupons on the bond; the other pays LIBOR+150 basis points. The coupons on the bond are paid regardless of whether there is a default In addition there is an initial exchange of cash reflecting the difference between the bond price and $100 The PV of the asset swap spread is the amount by which the price of the corporate bond is exceeded by the price of a similar risk-free bond when the LIBOR