6

Given a 3 year Bullet Corporate Bond with a 4% coupon that trades at a 20 basis points credit spread compared with the Risk-Free Zero Coupon curve

Using the following Risk-Free Zero Coupon Curve.

1 year Risk-Free Zero Coupon Rate: 4%

2 year Risk-Free Zero Coupon Rate: 4.5%

3 year Risk-Free Zero Coupon Rate:5%

Compute the bond yield if the Corporate-Risk Free Credit Spread has moved 10 basis points upward

5,27%

4,97%

5,17%

4%

plz use excel to explain if possible