What is the present value of cds payments

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Reference no: EM131917347

1. Consider the fixed payer position in a 5.15%/LIBOR swap. What is the net swap CF for the fixed payer on a payment date in which the LIBOR rate used for the payment is 3.98%? Assume a $5M notional principal and semi-annual payments.

2. Consider a 2-year CDS with $1.00 notional principal. Default intensities are 8% and 15% in years 1 and 2. The discount rate is 5% and the CDS spread is 6.73%. What is the present value of the CDS payments? Record your answer with four decimal places of precision./

Reference no: EM131917347

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