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Question
How to calculate the Z-Spread of a corporate bond, given the swap curve and the bond price? If you run the following script given a price of 97 I get Spread 720.1 but it should be 735. Please find what is missing to get the correct spread.
Settle = datenum('05-Jan-2016'); InstrumentTypes = { 'Deposit'; 'Deposit'; 'Deposit'; 'Deposit'; 'Deposit'; 'Futures';...
8 years ago | 0 answers | 0
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