16. Adding the zero-coupon credit spread for a particular credit quality within a sector to the Treasury

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16. Adding the zero-coupon credit spread for a particular credit quality within a sector to the Treasury spot rate curve gives the benchmark spot rate curve that should be used to value a security.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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