Suppose that on March 27, 2020, an investor owns euro 100,000 of the French OAT benchmark 7.5% maturing in April 2030. This bond pays coupon flows of euro 7,500 each over the next 10 years and returns the principal investment at maturity. One of these flows occurs in 6.08 years, between the standard vertices of 5 and 7 years (for which volatilities and correlations are available). RiskMetrics data for March 27, 2020

5yr 7.628 0.533 1.000 0.963

7yr 7.794 0.696 0.963 1.000