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Mathematics-in-Industry Case Studies

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

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