Questions tagged [trs]
The trs tag has no usage guidance.
2
questions with no upvoted or accepted answers
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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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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 ...
