Suppose that the LIBOR/swap curve is flat at 6% with continuous compounding and a 5-year bond with
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Suppose that the LIBOR/swap curve is flat at 6% with continuous compounding and a 5-year bond with a coupon of 5% (paid semiannually)
sells for 90.00.
How would an asset swap on the bond be structured? What is the asset swap spread that would be calculated in this situation?
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