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Example 6.3 credit risk measurement and management : computing z spread
Hello, May someone help me with the 6.3 example regarding the computation of the spread 01 (p.155). In fact, I don't understand the way it is calculated. 0.07/2 * e-(0.0347+0.04605-0.00005)i1/2 + e-(0.0347+0.04605-0.00005)*5 Where i = 2 to 5? I don't manage to find the results...- Bernard57950
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- Forum: P2.T6. Credit Risk Measurement & Management