Under CopyrightKrekel, M.M.KrekelWenzel, J.J.Wenzel2022-03-0731.10.20062006https://publica.fraunhofer.de/handle/publica/29301610.24406/publica-fhg-2930161 Introduction S.1 2 Notation and model setup S.2-6 - 2.1 Default model, bond prices, and basic rates S.2 - 2.2 Forward measures and dynamics of risk free rates S.3 - 2.3 Survival measures and dynamics of risky rates S.4-6 Contents S.7-8 - 2.4 Correlation and calibration S.8 3 General payoffs S.9-10 - 3.1 Zero bonds S.9-10 - 3.2 Defaultable payoffs S.10 - 3.3 Defaultable payoffs under independence S.10 4 Monte Carlo setup S.11 5 Closed form solutions and numerical results S.12-39 - 5.1 Forward Credit Default Swaps (CDS) S.12-16 - 5.2 Credit Default Swaptions (CDSwaptions) S.17-18 - 5.3 CDSwaptions under decorrelation of default intensities S.19-32 - 5.4 Constant Maturity Credit Default Swaps (CMCDS) S.33-39 6 Conclusion S.40 References S.40en519003006report