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U sell a CDS at market value 0 and get a coupon of 2% per annum. Assuming the spread jump to 3% and the principal
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U sell a CDS at market value 0 and get a coupon of 2% per annum. Assuming the spread jump to 3% and the principal of CDS is 10,000,000 what is going to be the new MV from your perspective ? Spread duration is 4.5.
-450,000
+450,000
-500,000
+500,000
U sell a CDS at market value 0 and get a coupon of 2% per annum. Assuming the spread jump to 3% and the principal of CDS is 10,000,000 what is going to be the new MV from your perspective ? Spread duration is 4.5.
| -450,000 | ||
| +450,000 | ||
| -500,000 | ||
| +500,000 |
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