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.

Answer rating: 100% (QA)

To calculate the cash flow chart and PL scenarios lets break it down step by step 1 Cash Flow Chart ... View the full answer