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Table 9 Comparison of the one-default and two-default cases over a range of credit ratings

From: Credit contingent interest rate swap pricing

Rating One-default Two-default
AAA 303.76 310.24
AA 632.60 661.51
A 822.47 875.13
BBB 1,215.01 1,330.24
BB 2,548.34 3,185.29
B 4,224.85 6,964.76
  1. (maturity =10, K =0.01)