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Assignment5 Cds
Assignment5 Cds
1.00
0.98
0.96
0.93
0.91
0.88
0.85
0.82
0.79
0.76
0.73
0.02
0.02
0.03
0.02
0.03
0.03
0.03
0.03
0.03
0.03
1.00
0.98
0.95
0.93
0.91
0.88
0.86
0.84
0.82
0.80
0.78
0.05
1yr bond: c =
5%, R= 10%
Coupon+Face
5
105
Recovery
Model Price
True Price
Error
Sum Error
4.98
95.94
100.92
100.92
0.00
8.86E-013
100.92
Recovery
2
2
2
102
2.43
2.32
2.31
84.50
Model Price
True Price
Error
91.56
91.56
0.00
True Price
91.56
3yr bond:
c = 5%,
R= 50%
Coupon+Fa
5
5
5
5
5
105
Recovery
5.81
5.55
5.50
5.23
5.13
78.40
4yr bond:
c = 5%,
R=10%
Coupon+Fa
Recovery
5
5
5
5
5
5
5
105
10
10
10
10
10
10
10
10
Model Price
True Price
Error
105.60
105.60
0.00
Model Price
True Price
Error
True Price
105.60
True Price
98.90
98.90
0.00
98.90
5yr bond:
c=10%,
R=20%
Coupon+Fa
Recovery
10
10
10
10
10
10
10
10
10
110
Model Price
True Price
Error
9.96
9.52
9.13
8.67
8.28
7.83
7.41
7.03
6.60
63.05
137.48
137.48
0.00
137.48