question archive 1) Calculate the upfront fee on a CDS on Company XYZ with 4 years remaining and a par CDS rate of 300 bps and coupon of 100 bps
1) Calculate the upfront fee on a CDS on Company XYZ with 4 years remaining and a par CDS rate of 300 bps and coupon of 100 bps
Subject:BusinessPrice: Bought3
1) Calculate the upfront fee on a CDS on Company XYZ with 4 years remaining and a par CDS rate of 300 bps and coupon of 100 bps. Please use a discount rate of .25 per year.
2) Over the course of the year, the credit of the XYZ CDS deteriorates to a par CDS rate of 500 bps. Calculate the P&L of the position from the perspective of CDS buyer.
3) Calculate the upfront fee on a CDS on Company ABC with 4 years remaining and a par CDS rate of 300 bps and coupon of 500 bps. Please use a discount rate of .25 per year.
4) Over the course of the year, the credit of the ABC CDS deteriorates to a par CDS rate of 500 bps. Calculate the P&L of the position from the perspective of CDS buyer.
