A credit default swap requires a semiannual payment at the rate of 7.1 basis points...
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A credit default swap requires a semiannual payment at the rate of 7.1 basis points per year. The principal is $2.3 million and the credit default swap is settled in cash. A default occurs after three years and three months, and the calculation agent estimates that the price of the cheapest deliverable bond is 30% of its face value shortly after the default. Calculate the total amount paid by the protection buyer given the information provided above? Choose the best answer. a. Protection buyer pays: $ 5307 b. Protection buyer pays: $ 816 c. Protection buyer pays: $ 4899 d. None of the other answers provided is correct
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