We have two B-rated bonds, with one-year default probability at 3.5%. Suppose that the interest rate is 4.1%, and their default times satisfy the Gaussian copula with p = 0.6, calculate the following expected present values, i.e. fair prices. (a) What is the fair price of a first-to-default swap which pays $1,000,000 if at least one of them defaults by the end of the first year? (b) How about a second-to-default swap which pays $1,000,000 if both default in the first year? We have two B-rated bonds, with one-year default probability at 3.5%. Suppose that the interest rate is 4.1%, and their default times satisfy the Gaussian copula with p = 0.6, calculate the following expected present values, i.e. fair prices. (a) What is the fair price of a first-to-default swap which pays $1,000,000 if at least one of them defaults by the end of the first year? (b) How about a second-to-default swap which pays $1,000,000 if both default in the first year