Question
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
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Focus On Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert J. Hughes
2nd Edition
0073530638, 9780073530635
