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.+$53,000
解释：
英文解析：
Recognize that the value of the CDS is calculated such that:
Current PV of expected payment = current PV of expected payoff = 0.0312
Using the current spread of 2.30%, the current PV of expected payments = s=0.0312/0.023=1.3565
Applying this value to the initial CDS spread of 1.85% yields:
PV of expected payments = 0.0185*1.3565=0.0251
Value to the protection buyer = PV of expected payoff - PV of expected payments = 0.0312 - 0.0251 = 0.0061 per 1$ 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.
中文解析：
信用违约互换（CDS）的价值计算方式如下：
预期支付的当前现值 = 预期收益的当前现值 = 0.0312。
使用当前2.30%的利差，预期支付的当前现值 = s = 0.0312 / 0.023 = 1.3565。
将该值应用于初始1.85%的CDS利差可得：预期支付的现值 = 0.0185 × 1.3565 = 0.0251。
对于保护买方而言的价值 = 预期收益的现值 - 预期支付的现值 = 0.0312 - 0.0251 = 每1美元名义金额0.0061。
1000万美元名义金额的互换价值 = 0.0061 × 10,000,000 = 61,000美元。
由于利差扩大，保护买方获利。
已经看了全部之前的学生提问，完全看不懂，老师能用英文专有名词，再加中文语句解释一下这题到底该怎么算吗？
为什么PV expected payment = PV expected payoff？
0.0312/0.023，就是PV expected payoff➗ current spread 这个代表是什么意思，公式在课件第几页能找到？
