2. A 5-year corporate bond pays a 4% annual coupon (each semester) and has a continuous YTM of 5%. The continuously compounded risk-free rates is 3% (the yield curve is flat). Suppose that defaults only take place at the end of each six months period (after payment of coupon) and that the recovery rate is 30%. Estimate the risk-neutral default probability, supposing that it is identical each year.

using EXCEL