We consider a CDS 6M with five-year maturity and $1 MN notional principal. The recovery rate R
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We consider a CDS 6M with five-year maturity and $1 MN notional principal. The recovery rate R is equal to 60% whereas the spread S is equal to 400bps at the inception date. we assume that the protection leg is paid at the default. How do i calculate the cash flow chart, the P&L of the seller A if the reference entity does not default, the P&L of the protection seller A if the reference entity default in three years and one month.
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Corporate Finance
ISBN: 9781265533199
13th International Edition
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe
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