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9 Supppose X is the protection buyer and Y is the protection seller for a 3-year credit default swap with (2 points) notional value of
9 Supppose X is the protection buyer and Y is the protection seller for a 3-year credit default swap with (2 points) notional value of $1,000,000. If the annual CDS premium is 4%, and remembering that premiums are quoted on an annual basis but paid quarterly, describe who pays how much (i.e. in dollars) to whom in any quarter if... a. ... there is a credit event. b. ... there is no credit event
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