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 |
please explain and show work
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Finance Markets Investments And Financial Management
Authors: Daisy Scott
1st Edition
1639892001, 9781639892006
