I need assistance with the problem below for a project i am currently working on in my Masters Program. The course is Fixed Income analysis. Thanks!
4.For the sake of illustration, consider a situation where RestLife holds a $120 MM face value position with an IR DV01 of 73,828.09 and SPRD DV01 of 95,908.09. What position in an IRS and a CDS should be held if the IR DV01 and SPRD DV01 of $10 MM notional principal positions are as follows?
IR DV01SPRD DV01