Published January 11, 2023 | Version v1
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Equity for Float Swap Valuation

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Description

An equity-for-float swap is an agreement between two counterparties to exchange the dividends and capital gains realized on an equity portfolio for a floating rate of interest.  When the reset dates for the equity leg and for the floating leg are different, a new dividend payment option is now available, where the user can specify that dividends be paid according to the floating payment dates.

Notes

https://ia904700.us.archive.org/27/items/partial-payoff-swap/PartialPayoffSwap.pdf

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equityForFloatSwap.pdf

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