Here is an overview of the asset swap spread I found online: https://www.deriscope.com/docs/AssetSwaps_LehmanBrothers_2000.pdf
I can't seem to make sense of the numbers in this example:
Specifically, how is the swap floating side calculated? I tried using the notional 10m multiplied by the libor rate + spread and divide by 2 (since semi-annual frequency) but can't get the exact numbers, so I think I am missing something here. In addition, why is the first floating payment only $27,738? My last question is in the summary at the bottom of this example, my guess is that the full price comes from the bond price 101.70% + the accrued interest 2.34375%, but that still doesn't add up to the full price shown here, and I am also hoping to understand what the fixed side of swap (-15.834%) as well as the floating side of swap (11.787%) mean and how are they calculated? If anyone can share some good resources/materials for understanding the basics of asset swap spread, that would be greatly appreciated as well.