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hull.22.1 by btzoho  138 views
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Hull 22.1
First Approximation
Term (yrs)3.0
Spread0.50%
Recovery30%
First Approx0.71%
More Exact
Riskfree4.00%
Risky yield4.50%
Principal$100.00
Coupon4.00%
Price (corporate)98.61
Price (riskless)100.00
EL from default1.39
RFPV of
TimePDRecovValueLGDDFEL
0.5Q30100.0070.00 0.9804 68.63Q
1.5Q30100.0070.00 0.9423 65.96Q
2.5Q30100.0070.00 0.9057 63.40Q
197.99Q
PD0.70%
Hull_22_1
 
     
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