Q.1971 An interest rate swap is expected to have a duration of 4 years. The upfront CVA is 1% of the notional. The CVA as a running spread is approximately equal to: | Financial Risk Manager Part 2 Quiz - LeetQuiz
Financial Risk Manager Part 2
Explanation:
CVA (running spread) = 4 years1%=25 basis points
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Q.1971 An interest rate swap is expected to have a duration of 4 years. The upfront CVA is 1% of the notional. The CVA as a running spread is approximately equal to:
