Question
A corporate bond offers a 6.8% coupon rate and has 3 years remaining to maturity. Interest is paid annually. The following rates are from the
A corporate bond offers a 6.8% coupon rate and has 3 years remaining to maturity. Interest is paid annually. The following rates are from the benchmark spot curve:
Time Spot Rate
1 year 3.3%
2 year 4.3%
3 year 5.7%
If the bond is trading at a Z spread of 186 bps, waht is the price of the bond, per $100 of par value?
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Handbook Of Financial Risk Management
Authors: Thierry Roncalli
1st Edition
1138501875, 978-1138501874
