For something like 10m notional. Let's say the cost of the CDS is 3.4m up front and 100K annually. How is the probability of default calculated?
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You need to know the marked recovery rate of the name to find the implied PD. Here is a helpful link http://www.wilmott.com/messageview.cfm?catid=8&threadid=38922
Still a little confused after looking at the page. Let's say that the time is 5 years. What would be the equation set up?
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