NO.PZ2021120102000023
问题如下：
Which of the following statements best describes how a single-nameCDS contract is priced at inception?
选项：
A.
If the reference entity’s credit spread trades below the standardcoupon rate, the CDS contract will be priced at a premium above par because theprotection buyer pays a “below market” periodic coupon.
B.
If the reference entity’s credit spread trades above the standard coupon rate, the CDS contract will be priced at a discount to par because the protection seller effectively receives a “below market” periodic premium.
C.
Similar to fixed-rate bonds, CDS contracts are initially priced at par with a fixed coupon and a price that changes over time as the reference entity’s credit spreads change.
解释：
B is correct. For example, if the reference entity’scredit spread trades at 1.50% versus a standard coupon rate of 1.00%, the CDS contract willbe priced at a discount equal to the 0.50%difference multiplied by the effective CDS spread duration times the contract notional.
Under A, the contractis priced at a premium to par because theprotection seller is receiving an “above market” periodicpremium.
这个题目我会做。但是我总觉得CDS price这个概念很抽象，CDS支付的保费就是标准化的1％或者5％，CDS spread和fixed coupon孰高孰低按道理不是只有这段时间过后才知道spread究竟多大，才能和付出的保费比较大小，那怎么能在一开始就支付upfront payment呢？还有CDS price的计算其实我都会，还有溢价折价我会判断，但是我真不太明白它的price究竟是什么价格，和upfront payment是啥关系？谢谢
