Question
Modify the data on the worksheet in the workbook to compute a par spread in basis points for a 5yr CDS with notional principalN N=10
Modify the data on the worksheet in the workbook
to compute a par spread in basis points for a 5yr CDS with notional principalN
N=10 million assuming that the expected recovery rateR=25%, the 3-month hazard rate is a flat
1% and the interest rate is 5% per annum.
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Get StartedRecommended Textbook for
Public Finance and Public Policy
Authors: Jonathan Gruber
4th edition
1429278455, 978-1429278454
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