Calculate the z-spread-constant yield spread

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A 6% annual coupon corporate bond with two years remaining to maturity is trading at a price of 100.125. The two-year, 4% annual payment government benchmark bond is trading at a price of 100.750. The one-year and two-year government spot rates are 2.10% and 3.635%, respectively. Calculate the Z-spread, a constant yield spread over a government spot curve, for the corporate bond.

Reference no: EM132473519

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