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梦梦 · 2025年05月15日

bcd的expected payoff 少pv吧

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?

1 个答案

pzqa27 · 2025年05月15日

嗨,从没放弃的小努力你好:


在题目中已经有了

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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