2231数理金融简单数值题short
Recover Market Spread From an Upfront Quote 11
题目
A CDS has standard coupon 0.01, risky annuity RPV01 = 4, and upfront 0.16 per unit notional. Using the linear approximation upfront ≈ (s_mkt - coupon)*RPV01, what market spread s_mkt is implied?
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