Question: Can you set up a trading strategy using long and short positions of the default-free floating rate bond and the defaultable floating rate bond that

Can you set up a trading strategy using long and short positions of the default-free floating rate bond and the defaultable floating rate bond that replicates the cash flow pattern of the CDS?

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Yes a trading strategy using long and short positions of the defaultfree floating rate bond riskfree bond and the defaultable floating rate bond corporate bond can replicate the cash flows of a Credit ... View full answer

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