问题如下:
TXT is a derivatives trading company. The derivatives trading company sold $10 million five-year CDS protection on company D. The CDS contract has a duration of 3.5 years. 3 months later, the credit spread on company D narrowed from 225bps to 165 bps.
According to the information above, if TXT enters into an offsetting position, it will generate a profit closest to:
选项:
A. 0.21 million
B. 0.58 million
C. 0.79 million
解释:
A is correct.
考点:计算CDS的盈利.
解析:
根据公式,TXT的盈利为:
Profit for TXT = changes in spread in bps × duration × notional
=(225bps-165bps)×3.5×10million
= 0.21 million
请问题目里提到3个月,这个条件需要用到吗?用不用把spread年化之类的