Question
Modify the data on theCDSpricingworksheet in the workbook https://d396qusza40orc.cloudfront.net/flex-fe1/class_resources/Bonds_and_cds_v2.xlsx to compute a par spread in basis points for a 5yr CDS with notional principal N
Modify the data on theCDSpricingworksheet in the workbook
https://d396qusza40orc.cloudfront.net/flex-fe1/class_resources/Bonds_and_cds_v2.xlsx
to compute a par spread in basis points for a 5yr CDS with notional principalN=10million assuming that the expected recovery rateR=25%, the 3-month hazard rate is a flat1%, and the interest rate is5%per annum.
Submission Guideline:Give your answer inbasis pointsrounded to two decimal places (1 bps = 0.01%). For example, if you compute the answer to be 73.2367 bps, submit 73.24.
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Applied Equity Analysis and Portfolio Management Tools to Analyze and Manage Your Stock Portfolio
Authors: Robert A.Weigand
1st edition
978-111863091, 1118630912, 978-1118630914
