6,5% coupon bond zero default value

[Luc_te_Koppele]

Hello everyone,

Can someone explain to me how the present value of 631,89 of the loss is determined? When I compute 1098,04-31,78-31,54 (PV of the 1,5 and 2 year coupon)-450(recovery rate) = 584,72
Could someone tell me how to get to 631,89 and 582,5??

Kind regards,
Luc

[breadmaker]

582.50 = (0.55 * 1,000) + 32.50, since the default occurs just PRIOR to the last coupon and principal repayment.

For year 1, I tried taking the PV of the coupons at time 1, 1.5, 2, and 55% of the 1,000 face, but I get $638.65 if I use 1.5% EAR.