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suppressMessages(require(ggplot2))

cds.value <- function(p.0, p.t, r, recovery = 0.5, T) {
    lambda <- p.t/recovery
    cds.value <- -(p.t - p.0) * ((1 - exp(-(r + lambda) * T))/(r + lambda))

    return(cds.value)
}

x <- seq(0/10000, 10000/10000, 25/10000)
y <- sapply(x, cds.value, p.0 = 100/10000, r = 25/10000, T = 5)
out.df <- data.frame(spread = x, cds.val = y)

p <- qplot(x * 10000, y * 100, data = out.df) + xlab("Spread (in BP)") + ylab("CDS % MtM")
p