Question
U buy a CDS with MV 0 maturing and spread duration of 3.5 principal of 10,000,000 U sell another CDS with MV 0 and spread
U buy a CDS with MV 0 maturing and spread duration of 3.5 principal of 10,000,000 U sell another CDS with MV 0 and spread duration of 4.5 principal 25,000,000 Assume ur spread goes up by 20 bps what is going the approximate portfolio MV change? Hint calc each of the MV seperately and then add them together
-155,000
295000
-225,000
NONE OF THE ABOVE
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Financial Management For Public, Health, And Not-for-Profit Organizations
Authors: Steven A. FinklerDaniel L. Smith, Thad D. Calabrese
6th Edition
978-1506396811, 150639681X
