Maturity P(0,T) P(0,T)
0.5 0.99 0.98
1 0.96 0.94
1.5 0.93 0.90
2 0.89 0.85
a)What is the price of 2-year defaultable bond with principal of $1, and pays $0.02 coupon semiannually?
b)What is the value of risk free annuity that pays $1 semiannually?
c)What is the spread for Asset Swap Package for the bond in part a?
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