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periods years to maturity spot rate 1 0.5 5.0% 2 1 5.4% 3 1.5 5.8% 4 2 6.4% 5 2.5 7.0% 6 3 7.2% 7
periods | years to maturity | spot rate |
1 | 0.5 | 5.0% |
2 | 1 | 5.4% |
3 | 1.5 | 5.8% |
4 | 2 | 6.4% |
5 | 2.5 | 7.0% |
6 | 3 | 7.2% |
7 | 3.5 | 7.4% |
8 | 4 | 7.8% |
Suppose that the market price of a 4-year 6% coupon non-Treasury issue is $91.4083
Determine whether the zero-volatility spread (Z-spread) relative to the Treasury spot rate
curve for this issue is 80 basis points, 90 basis points, or 100 basis points.
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