Question
Assume that on Feb 4th, 2019 you buy a five-year CDS that matures on March 20th, 2024. The notional value is $10M, and the standard
Assume that on Feb 4th, 2019 you buy a five-year CDS that matures on March 20th, 2024. The notional value is $10M, and the standard spread is 100 bps. Given that there are 46 days between Dec 21st, 2019 and Feb 3rd, 2019, how much should the CDS seller return to you on Feb 4th, 2019?
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International Financial Markets And The Firm
Authors: Piet Sercu, Raman Uppal
1st Edition
1861523548, 978-1861523549
