Questions tagged [trs]
The trs tag has no usage guidance.
4
questions with no upvoted or accepted answers
1
vote
0answers
30 views
Pricing a TRS using the Projected method for the financing leg and the Accrual method for the asset leg
I've been wandering if would be possible to value a TRS I have in an unusual way.
I would like use the accrual method for the asset leg, since the the asset leg is a long position in an equity and it ...
0
votes
1answer
47 views
Is Breakable TRS subject to an option in the termsheet?
Does sombody know exactly if a TRS is always breakable ? Or if breaking the TRS position is an option in the term-sheet.
I need an accurate response.
Thank you !
0
votes
0answers
57 views
How to Determine the Total Return Swap Notional Value at Each Reset Period?
Say my asset leg of a quarterly reset TRS is:
$$V_{asset}(t) = \sum_{\tau=0.25}^{T}\bigg(N(t,\tau) \cdot \frac{F(t,\tau)-F(t,\tau-0.25)}{F(t,\tau-0.25)} \cdot Z(t,\tau)\bigg)$$
and my funding leg is
$$...
0
votes
0answers
46 views
Spread sensitivity of TRS
I am about to understand the valuation of a TRS. The approach I am applying derives risk neutral survival / default probabilities from the ratio between risk free and spread adjusted rates and uses ...
