You are estimating the value of an interest-rate swap. In a risk-free world, the value of the

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You are estimating the value of an interest-rate swap. In a risk-free world, the value of the swap is 700bps. Additionally, the price of your counterparty's risk is 300 bps and the price of your own credit risk is 200 bps. What is the fair value of the swap?

A. 500 bps

B. 100 bps

C. 600 bps

D. 700 bps

Posted Date: Nov 28, 2021 11:31 PM

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You are estimating the value of an interest-rate swap. In a risk-free world, the value of the

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