问题如下：
The fair value of bond B2 is closest to:
选项：
A.€1,069.34.
B.€1,111.51.
C.€1,153.68.
解释：
A is correct. The following table shows that the CVA for the bond is €42.17, the sum of the present values of expected loss. The steps taken to complete the table are as follows.
Step 1: Exposure at Date 4 is €1,000 + Coupon amount = €1,000 + €60 = €1,060. Exposure at a date T prior to that is Coupon on Date T + PV at Date T of subsequent coupons + PV of €1,000 to be received at Date 4.
For example, exposure at Date 2 is
Steps 2 through 8 are the same as those in the solution to Question 1.
Value of the bond if the bond were default free would be €60 × DF1 + €60 × DF2 + €60 × DF3 + €1,060 × DF4 = €1,111.51.
Fair value of the bond considering CVA = €1,111.51 – €42.17 = €1,069.34
CVA表格中EXPOSURE 1和2算出来分别是1030和1059？
