NOUR CQF EXAM 5

0.5

L=1-R
0.5

1
2
3
4
5
6
7

50
77
94
109.5
125
128
131

Years
step 1
step 2
step 3
step 4
step 5
step 6

Credit spread D(0,T_Years) SP cumul

0.005
0.97
0.99009901
0.0077
0.94
0.973682202
0.0094
0.92
0.952883553
0.01095
0.89
0.927842502
0.0125
0.86
0.898360732
0.0128
0.83
0.869926026
0.0131
0.81
0.842183672

1
2
0.99009901 0.973682202

3
-2.34E-03
-0.000491436

0.955714765

PDF cum

0.99009901 0.973682202

0.952883553

0.1

L=1-R

Years
0.9

1
2
3
4
5
6
7

751
1164
1874
3015
4156
5119.5
6083

Years
step 1
step 2
step 3
step 4
step 5
step 6

Credit spread D(0,T_Years) SP cumul

0.0751
0.97
0.922982258
0.1164
0.94
0.777299788
0.1874
0.92
0.508338629
0.3015
0.89
0.086599357
0.4156
0.86
-0.171686888
0.51195
0.83
-0.252568655
0.6083
0.81
-0.319322686

1
2
0.922982258 0.777299788

3
-1.19E-01
-0.016167571

0.643341741

PDF cum

0.922982258 0.777299788

0.508338629

WFC
Interpolation
SP non cumul
0.00990099
0.016416807
0.020798649
0.025041052
0.02948177
0.028434706
0.869926026

Cspread(4)
Cspread(6)

0.01095
0.0128

R(4)
R(6)

4
5
6
7
-0.003278595 -0.004292468 -0.0046027 -0.0049278
-0.001323182 -0.00221976 -0.0024574 -0.0027074
-1.83429E-05 -0.000828809 -0.0010161 -0.0012142
0.000489573 0.00035246 0.00020635
0.00171302 0.00161926
0.00149159
0.932462622 0.905212197 0.87593675 0.84771587
0.927842502

CCMO

R(3)
R(5)
R(7)

0.898360732 0.86992603 0.84218367

Interpolation
SP non cumul
0.077017742
0.145682471
0.268961158
0.421739273
0.258286245
0.080881767
-0.252568655

Cspread(4)
Cspread(6)

0.3015
0.51195

4
5
-0.273468528 -0.466345314
-0.130932869 -0.275994024
0.110222755 0.043346798
0.468063161

0.380778

6
7
-0.6616653 -0.8889103
-0.4243208 -0.5981326
-0.0282942 -0.1150493
0.5050598 0.54207357
0.46608789 0.53950492
0.35189829
0.059242491
-0.109436 -0.1507073

0.086599357 -0.171686888

-0.2525687 -0.3193227

Interpolation
0.02779387
0.03016458
0.030103
0.02897922
0.03013379