Time Cash Flow Mkt Val Risk-Free-Val

0.5 3.5 3.414634 3.431373

1 3.5 3.33135 3.364091
1.5 3.5 3.250098 3.298128
2 3.5 3.170827 3.233459
2.5 3.5 3.09349 3.170058
3 103.5 89.24773 91.90504

Total 105.5081 108.4021

Cost of Defaults 2.894021

Trial Hazard Rate 0.017033

Cumul Default RecoveryRisk-free ValLoss Given Discount Cost of

Survival Prob Amount Val Default Factor Default
0 1
0.5 0.99152 0.00848 45 110.5702 65.57019 0.980392 0.545151
1 0.983111 0.008408 45 109.2116 64.21159 0.961169 0.518949
1.5 0.974774 0.008337 45 107.8258 62.82582 0.942322 0.493572
2 0.966508 0.008266 45 106.4123 61.41234 0.923845 0.468996
2.5 0.958312 0.008196 45 104.9706 59.97059 0.905731 0.445198
3 0.950185 0.008127 45 103.5 58.5 0.887971 0.422155

Total 2.894021

Difference in
Cost of Defaults -1.12E-07