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Table 6 Price of CCIRS on different annual node (maturity =5, K =0.00909)

From: Credit contingent interest rate swap pricing

Year r(t) λ(t) Price
0 0.5490% 0.6468% 2,264.26
1 0.5301% 0.5383% 1,293.70
2 0.6261% 0.6664% 705.00
3 0.7932% 1.0683% 401.82
4 0.9933% 0.8382% 146.92