A 6% annual coupon corporate bond with two years remaining to maturity is trading at a price

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A 6% annual coupon corporate bond with two years remaining to maturity is trading at a price of 100.125. The two-year, 4% annual payment government benchmark bond is trading at a price of 100.750. The one-year and two-year government spot rates are 2.10% and 3.635%, respectively, stated as effective annual rates.


Calculate the G-spread, the spread between the yields-to-maturity on the corporate bond and the government bond having the same maturity.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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