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Thank you Dimitri, that is indeed who I was thinking of! Kudos for closing this search off so quickly.


It sounds like your professor is asking you to code the formulas in the Duffie-Singleton paper . (Also found in excellent papers by Bielecki and other sources.) A few technical details to keep in mind: In case of default, bond's accrued coupon is wiped out, and you have recovery only on the remaining principal ...


As a ball park figure, your value would be around 5k (=10M x 0.01% x 5). If your swap in in EUR or JPY that have very low rates, you won't be too far off. However, this will give you the PV01, i.e., the discounted value of 1 bps, which is the same (or very very close) as the sensitivity of the market value to a change in 1bp (DV01) if the swap is at fair ...

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