Asset Swap Spread Calculator

This plug-in implements the capability of calculating Asset Swap Spreads allowing to include the counter-party credit risk , on the valuation of custom bonds or structures by calculating a spread to be added to the discounting curve.

An Asset Swap (ASW) is a fixed vs. floating swap, where the fixed leg have the same payments structure, market convention and fixed rate of a quoted bond (called benchmark bond); meanwhile the floating leg is indexed to a floating interest rate (Xibor) defined for an arbitrary maturity. Each leg is discounted using a Zero Rate Curve obtained from a combination of preselected Cash-FRA-Swap rates.

The ASW spread is the rate that nullifies the fair value of an ASW when the clean price of benchmark bond quoted is equal to 100 or quoted at par.