An investor seeks to purchase credit protection under a five-year CDS contract at a CDS market spread
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An investor seeks to purchase credit protection under a five-year CDS contract at a CDS market spread of 0.50% p.a. for an investment-grade issuer with an estimated effective spread duration (EffSpreadDurCDS) of 4.75.
Determine whether the investor must pay or receive an upfront amount upon CDS contract inception and calculate the difference from par.
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