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Compute a par spread in basis points for a 5yr cds

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Reference no: EM13925007

Modify the data on the CDS pricing worksheet in the work book data.xlsx to compute a par spread in basis points for a 5yr CDS with notional principal N=10million assuming that the expected recovery rateR=25%, the 3-month hazard rate is a flat1%, and the interest rate is5%per annum.

Attachment:- data.xlsx

Reference no: EM13925007

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