Imagine an investor sold five-year protection on an investment-grade company and had to pay a 2% upfront
Question:
Imagine an investor sold five-year protection on an investment-grade company and had to pay a 2% upfront premium to the buyer of protection. Assume the duration of the CDS to be four years. What are the company’s credit spreads and the price of the CDS per 100 par?
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The value of the upfront premium is equal to the premium 2 di...View the full answer
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Branice Buyengo Ajevi
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