Question
Assume u have bought a CDS with the market value of 1,000,000 dollar and and the spread appreciated by 20 bps( e.g if the spread
Assume u have bought a CDS with the market value of 1,000,000 dollar and and the spread appreciated by 20 bps( e.g if the spread was 100 bps now it's 120 bps). If the Spread duration of CDS is 4.5 what will be the new MV assuming that the principal of CDS is 200,000,000?
| +1,800,000 | ||
| -800,000 | ||
| -2,500,000 | ||
| -500,000 |
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Investments
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus
8th Edition
0077261453, 978-0077261450
