Questions tagged [trs]

A total return swap (TRS) is a contract between two parties who exchange the return from a financial asset between them.

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Total Return Swap (TRS) on Convertible Bond

Is there any relevant paper/source I can look at for pricing TRS on convertible bond? Specially, how should I evaluate the asset return leg? Let's say I already have an convertible bond pricer that ...
Fail Analysis's user avatar
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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 ...
richteer's user avatar
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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 ...
CodeMonkeyAtWork's user avatar