NO.PZ2024042601000055
问题如下:
CDS spreads are that the PV of:
选项:
A.
accrual payments is zero
B.
expected payoff is less than the PV of expected payments during the life of the CDS
C.
expected payoff is equal to the PV of expected payments during the life of the CDS
D.
expected payoff is greater than the PV of expected payments during the life of the CDS
解释:
The CDS spread is set such that the PV of expected payoff is equal to the PV of expected payments during the life of the swap. The PV of expected payments includes the PV of expected periodic swap spread payments plus the PV of expected accrual payments.
bcd的expected payoff 是不是都少一个PV啊?