Question
Assume you calculate the PV of an Interest Rate swap you currently hold with Ford Motor Company. The Swap has 5 years remaining term and
Assume you calculate the PV of an Interest Rate swap you currently hold with Ford Motor Company. The Swap has 5 years remaining term and a PV of +$1,450,000. There is no collateral in place.
JPMorgan's CDS screen is currently showing a 5-year CDS spread for Ford Motor Company of 140 basis points. Calculate the PV of your interest rate swap including a CVA that is based on the credit derivative market.
| $1,338,519 | |
| $1,321,297 | |
| $1,356,000 | |
| $1,211,234 | |
| $1,351,971 |
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The Oxford Handbook Of State Capitalism And The Firm
Authors: Mike Wright, Geoffrey T. Wood, Alvaro Cuervo-Cazurra, Pei Sun, Ilya Okhmatovskiy, Anna Grosman
1st Edition
0198837364, 978-0198837367
