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Consider a credit default swap initiated on April 1, 2012. The notional principal amount is $100 million. The premium payments are made annually at a
- Consider a credit default swap initiated on April 1, 2012. The notional principal amount is $100 million. The premium payments are made annually at a rate of 180 basis points per year. The swap will last for 5 years. Suppose that default event occurs on December 31, 2014. The recovery rate is 65%. Then the accrual payment is equal to ___________.
- $0
- $1,200,000
- $1,350,000
- $4,400,000
- $35,000,000
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Finance For Growing Enterprises
Authors: Edward W. Davis, Roger Buckland
1st Edition
1138679941, 978-1138679948
