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b) You have been provided with the following spot rates from the Treasury strip and BBB-rated corporate bond (pure discount) yield curves over the next
b) You have been provided with the following spot rates from the Treasury strip and BBB-rated corporate bond (pure discount) yield curves over the next 2 years. Required: (i) Calculate the probability of default for the BBB-rated bonds in the first year. Show all working. (ii) What is the cumulative probability of default over the 2-year period? Show all working. b) You have been provided with the following spot rates from the Treasury strip and BBB-rated corporate bond (pure discount) yield curves over the next 2 years. Required: (i) Calculate the probability of default for the BBB-rated bonds in the first year. Show all working. (ii) What is the cumulative probability of default over the 2-year period? Show all working
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