Suppose we wish to price the spread on a two-year annual payment credit default swap. The constant interest rate is 10%. Suppose the conditional probability of default each year is also constant and is denoted p. Write down an expression that expresses the two-year fair value of the CDS spread (s) in terms of the other parameters of the model. Assume that all default payments are made at the end of the period, and all premium payments are made at the beginning of each period. Also assume that recovery is 40% of face value.