Basket Credit Default Swap Pricing with Two Defaultable Counterparties

Table 1

Compare the CDS prices derived from formula (71) and that from Monte Carlo method. Parameters values are .

	Derived from formula (71)	Monte Carlo	% Difference
0.00	0.049747969035060	0.049759355891914	0.0229
0.01	0.049790128812098	0.049804011930421	0.0279
0.02	0.049832250853993	0.049848113228926	0.0318
0.03	0.049874335198439	0.049893900136012	0.0392
0.04	0.049916381883091	0.049934619943680	0.0365
0.05	0.049958390945565	0.049946025125867	0.0247
0.06	0.050000362423441	0.049982809103013	0.0351
0.07	0.050042296354261	0.050028570979433	0.0274
0.08	0.050084192775529	0.050049815970814	0.0686
0.09	0.050126051724711	0.050109782978705	0.0325
0.10	0.050167873239235	0.050191298437472	0.0467