Download This PaperZero Yield and Asset Swap Spreads
5 Pages Posted: 15 Jul 2014
Date Written: October 12, 2013
Abstract
We compare zero yield and asset swap spreads both being used to specify the credit risk component in bond pricing. We investigate how these both figures are related and how the asset swap spread depends on other pricing factors such as the riskfree yield, all in terms of numerical examples calculated using QuantLib.
Keywords: Asset Swap Spread, Zero Yield Spread, Credit Risk, Risky Securities
JEL Classification: C00
Suggested Citation: Suggested Citation
Caspers, Peter, Zero Yield and Asset Swap Spreads (October 12, 2013). Available at SSRN: https://ssrn.com/abstract=2465847 or http://dx.doi.org/10.2139/ssrn.2465847
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