Published August 17, 2025 | Version v2
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Collateralized Swap Structure Analytics

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Description

The Collateralized swap structure is an option where the client, rather than making an upfront cash payment, puts up collateral instead–in this case in the form of a basket of hedge fund investments. For the most part the option acts as an equity swap, with the client paying the returns on a basket of hedge funds and receiving a spread over Libor, with the notional amount resetting periodically.

Notes

The Collateralized swap structure is an option where the client, rather than making an upfront cash payment, puts up collateral instead–in this case in the form of a basket of hedge fund investments. For the most part the option acts as an equity swap, with the client paying the returns on a basket of hedge funds and receiving a spread over Libor, with the notional amount resetting periodically.

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Other
https://finpricing.com/lib/CmcOption.html

Related works

Documents
https://finpricing.com/lib/CmcOption.html (Other)

Dates

Updated
2025-08-17