NO.PZ2024050101000057
问题如下：
Banko, Inc., entered into a $10 million notional, 7-year CDS as a protection buyer three years ago at a spread of 1.85%. The current 4-year CDS spread for the same reference entity is 2.30% based on the PV of expected payoff of 0.0312 per $1 notional. The value of the CDS to Banko, Inc., is closest to:
选项：
A.
−$55,000
B.
−$60,900
C.
+$61,000
D.
+$53,000
解释：
Recognize that the value of the CDS is calculated such that:
Current PV of expected payment = current PV of expected payoff = 0.0312
Using the current spread of 2.30%, the current PV of expected payments = s=0.0312/0.023=1.3565
Applying this value to the initial CDS spread of 1.85% yields:
PV of expected payments = 0.0185*1.3565=0.0251
Value to the protection buyer = PV of expected payoff - PV of expected payments = 0.0312 - 0.0251 = 0.0061 per 1$ notional.
The swap value for the $10 million notional = 0.0061 × 10,000,000 = $61,000. Because the spread has widened, the protection buyer gains.
不太明白，请详细解释下答案
