Calculate the upfront fee on a cds on company xyz

Reference no: EM131056128

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.

Reference no: EM131056128

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