2229数理金融简单数值题short
Recover the Market CDS Spread From an Existing Position 9
题目
A protection buyer holds an existing CDS with contractual spread 0.012 and risky annuity RPV01 = 2. The buyer's mark-to-market is -0.004 per unit notional under the linear approximation MTM ≈ (s_mkt - c)*RPV01. What market spread s_mkt is implied?
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