Question: The bond equivalent yields for U.S. Treasury and A-rated corporate bonds with maturities of 93 and 175 days are given below: a. What are the

The bond equivalent yields for U.S. Treasury and A-rated corporate bonds with maturities of 93 and 175 days are given below:

a. What are the implied forward rates for both an 82-day Treasury and an 82-day A-rated bond beginning in 93 days? Use daily compounding on a 365-day year basis.
b. What is the implied probability of default on A-rated bonds over the next 93 days? Over 175 days?
c. What is the implied default probability on an 82-day A-rated bond to be issued in 93 days?

93 Days 8.07% 8.42% 0.35% 175 Days 8.11% 8.66% 0.55% U.S. Treasury A- rated corporate Spread

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a The forward rate f for the period 93 days to 175 days or 82 days for the Treasury is 1 0081... View full answer

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