Question
U have a bond with a SD of 4 years and MV of 10,000,000. U SELL a CDS for a principal of 20,000,000 USD and
-
U have a bond with a SD of 4 years and MV of 10,000,000. U SELL a CDS for a principal of 20,000,000 USD and SD of 3 years.
What will be the change in the entire package if the spread moves up by 30 bps.
Hint: Caclulate the MV add/loss of each component separately and then sum them together!
-300,000
-250,000
+230,000
NONE OF THE ABOVE!
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Money Banking And Financial Markets
Authors: Stephen Cecchetti, Kermit Schoenholtz
3rd Edition
007337590X, 9780073375908
