ASSIGNMENT 7: Credit Default Swaps
- Due Oct 9, 2021 at 11:59pm
- Points 5
- Questions 5
- Available after Oct 5, 2021 at 8pm
- Time Limit None
Instructions
In the spreadsheet below I have given you discounts to each CDS payment date for the next 5 years as well as standard coupon and spread to fair coupon for CDS of varying tenors. You will use this data to answer the questions.
Assume all CDS contracts are for $100,000,000 notional and that the recovery rate is 40%.
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