The Excel Derivatives Periscope



Asset Swap is a child type of Swap that represents a bond-based asset swap, whereby some specific bond and its coupons are exchanged between two counterparties.
The exact structure of the exchange depends on the swap's
Asset Swap::Structure
In formal terms:
Each floating ibor-linked payment equals:
where I is the realized value of the ibor rate index
Ibor Rate at the begining of each floating coupon period.
Further on, s is the entry in Spread and Δt is the length of the respective accrual period.
N refers to the applicable notional, which depending on an entry of type
Asset Swap::Structure may equal either the bond's notional or the bond's market price at swap's inception.
The coupon denomination currency is assumed to be that of the index.
Web reference available

The pricing methodology is specified in
Model[Asset Swap]