Mathematics-in-Industry Case Studies

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

(maturity =10, K =0.01)

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