Suppose that the risk-free zero curve is flat at 6% per annum with continuous compounding and that defaults can occur at times 0.25 years, 0.75 years, 1.25 years, and 1.75 years in a two-year plain vanilla credit default swap with semiannual payments. Suppose that the recovery rate is 20% and the unconditional probabilities of default (as seen at time zero) are 1% at times 0.25 years and 0.75 years, and 1.5% at times 1.25 years and 1.75 years.

A) What is the credit default swap spread?

B) If the Credit Default Swap was previously negotiated for a spread of 182 basis points, what would the value of the CDS to both the buyer and the seller If the notional principal is $10 million?

C) What would the credit default spread be if the instrument were a binary credit default swap?