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A 6% annual coupon corporate bond with two years remaining to maturity is trading at a price of 100.125. Th e two-year, 4% annual payment
A 6% annual coupon corporate bond with two years remaining to maturity is trading
at a price of 100.125. Th e two-year, 4% annual payment government benchmark bond
is trading at a price of 100.750. Th e one-year and two-year government spot rates are
2.10% and 3.635%, respectively, stated as eff ective annual rates.
1 . 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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