3. Consider the CDS pricing example in Section 18.7. Assume that hazard rate is 3% instead of...

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3. Consider the CDS pricing example in Section 18.7. Assume that hazard rate is 3% instead of 5% but all other input parameters remain the same. Calculate the value of the CDS by finding the CDS spread cds that sets the expected present value of the protection leg payments equal to the expected present value of the premium leg payments as in the text.

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Principles Of Financial Engineering

ISBN: 9780123869685

3rd Edition

Authors: Robert Kosowski, Salih N. Neftci

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