2227数理金融简单数值题short
Recover the Market CDS Spread From an Existing Position 7
题目
A protection seller holds an existing CDS with contractual spread 0.015 and risky annuity RPV01 = 5. The seller's mark-to-market is 0.02 per unit notional under the linear approximation MTM ≈ (c - s_mkt)*RPV01. What market spread s_mkt is implied?
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