A three year, CLN with underlying company Z has a Libor+60bps semi-annual coupon, the face value of CLN is 100, Libor is 5% for all maturities. The current three-year credit default swap spread for Company Z is 90 bps, The fair value of the CLN is close to
a 100
b 111.05
c 101.65
d 99.19

HANDBOOK解释：Because the current CDS spread is greater than coupon, the CLN must be selling at a discount(这当中的逻辑是什么？)， More precisely, we can use the spread duration from 22.2(V=PV PAYOFF-s*(pv spread)), which is the sum of present value factor over three years, Assuming a flat term structure, this is Sigma(PV)=.952+.907+.864=2.72 years, multiplying by(90-60)=30bps, gives a fall of .81%, which gives 99.19

题目中的5%+libor是说 CLN coupon，还是CLN结构中的无风险债券？
题目中的解释直接把三个折现因子加起来算怎么回事？
完全糊涂了