Questions tagged [trs]

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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 ...
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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 !
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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 $$...
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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 ...