Question
For the sake of illustration, consider a situation where RestLife holds a $120 MM face value position with an IR DV01 of 73,828.09 and SPRD
For the sake of illustration, consider a situation where RestLife holds a $120 MM face value position with an IR DV01 of 73,828.09 and SPRD DV01 of 95,908.09. What position in an IRS and a CDS should be held if the IR DV01 and SPRD DV01 of $10 MM notional principal positions are as follows?
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Management And Cost Accounting
Authors: Charles T. Horngren, George Foster, Srikant M. Datar
3rd Edition
0273687514, 978-0273687511
