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Table 8 Comparison of the one-default and two-default cases under various correlation (# of time step =600, maturity =5, K =0.01)

From: Credit contingent interest rate swap pricing

ρ One-default Two-default
0 2,075 2,100
0.1 2,155 2,182
0.2 2,236 2,264
0.3 2,319 2,349
0.4 2,404 2,435
0.5 2,490 2,522
0.6 2,578 2,611
0.7 2,668 2,702
0.8 2,759 2,794