Question
U sell a CDS with MV of 0 and principal of 100,000,000 if the spread duration is 3.7 what will be the new MV if
U sell a CDS with MV of 0 and principal of 100,000,000 if the spread duration is 3.7 what will be the new MV if the spread drop by 50 bps ( so the spread was 100 bps and now it's 50 bps)
+1850,000
+1,910,000
no change
-1,200,000
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Fundamentals Of Financial Management
Authors: James Van Horne, John Wachowicz
13th Revised Edition
978-0273713630, 273713639
