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Pricing of Total Return Swaps

Posted 10 years ago

Total return swaps are practical instruments for synthetic replication of the economic performance of tradable asset in a traditional swap format. The central concept of this structure is an access to the assetÂ’s performance without actually owning it which makes this structure an attractive alternative to physical investing into many tradable markets. Although the TRS is frequently associated with credit markets, its usage is much wider. Equity or commodity swaps are particular cases of TRS application in these markets.

TRS index

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POSTED BY: Igor Hlivka
2 Replies
Posted 10 years ago

A neat and concise explanation!

POSTED BY: Priyan Fernando

Igor

Is it possible to get the notebook behind this and the other PDF files?

Thank you Michael

POSTED BY: Michael Kelly
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