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Ocean_my
‎11-23-2020
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Re: Calculate the Z-Spread of coupon bond with yield curve - Use Solve

by Calcite | Level 5 in SAS Programming
‎11-23-2020 11:06 AM
‎11-23-2020 11:06 AM
Price Bond = Coupon/(1+Rate(1)+Spread)^1+ Coupon/(1+Rate(2)+Spread)^2+ Coupon/(1+Rate(N)+Spread)^N+ Principal/(1+Rate(N)+Spread)^N ... View more

Calculate the Z-Spread of coupon bond with yield curve - Use Solve

by Calcite | Level 5 in SAS Programming
‎11-23-2020 10:41 AM
‎11-23-2020 10:41 AM
Hi, Please i need help, i would like to calculate the Z-spread(zero volatilité spread) of coupon bond. Input(known variable) : Price of the Bond = 102.3 Coupon = 3% Frequency : Annuel Date of maturity = 15/12/2024. Yield Curve: Year 1 =0.1, Year 2 =0.2, Year 3 =0.4,  Year 4 = 0.5. The formula is : 102.3= 3/(1+0.1+SP)^1+3/(1+0.2+SP)^2+3/(1+0.4+SP)^3+3/(1+0.5+SP)^4+100/(1+0.5+SP)^4. With the function Solve, i would like to find SP(Z-spread). Thank you for your help. Samy ... View more
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