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We assume the default intensity of firm depends on the stochastic interest rate driven by the jump-diffusion process and the default states of counterparty firms. Furthermore, we make use of the techniques of \\textit{H. S. Park} [The survival probability of mortality intensity with jump-diffusion, J. Korean Stat. Soc. 37, No. 4, 355--363 (2008; \\url{doi:10.1016/j.jkss.2008.06.001})] to compute the conditional distribution of default times and derive the explicit prices of bond and CDS. 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