1) Given the following parameters for a credit default swap a. Annual time steps b. $100 Notional or Principle c. Default occurs halfway through the period d. Accruals paid for the period only if default doesn't occur. e. Discount factors given below. f. Recovery Rate is 40% g. Risk-neutral default probability (Conditional) for years 1, 2, and 3 are 2%,4%,6% a) What is the value of a forward CDS contract (buy protection) starting in 1-year for 2-years with a spread of 4% ? b) What is the value of a 1-year CDS contract (buy protection) with a 4% CDS spread? c) What is the value of a 3-year CDS with a 4% CDS spread