Swaps

關於掉期/掉期價差的基本問題

  • June 3, 2019

When I read up on swap spreads, the definition always goes something like this: The swap spread is the difference between the fixed leg of swap and a Treasury bond with the same maturity.

So if the fixed leg of a 10y swap is 8% and the Treasury bond has a rate of 5%, the spread is 3%. What confuses me about this is that I thought the fixed rate of the swap depends on the floating leg: If a company has a variable interest rate of Libor + 2%, they will probably get a different fixed rate in a swap compared to a company with Libor + 1%. And that would lead to a different swap spread.

Could someone point out where my mistake is?

Yes that’s pretty simple : for the purposes of defining the swap spread, we assume that the libor leg of the swap is at libor flat.

引用自:https://quant.stackexchange.com/questions/45904