Hi guys....

I hope someone could help me with this problem....

The assignment is the following:

For indivudal obligors your quant team is using an intensity model with a deterministic intensity function. A colleague responsible for calibration obtained the following intensity function for a certain obligor:

see attachmentCDS pricing-intensity.jpg

Now price a 1-year CDS on this obligor with semiannual spread payments and quaterly observation intervals. The continuosly compounded short rate equals 3% p.a. The expected loss given default equals 60% of the face value.

Anybode has an idea???

THX a lot.....