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发帖数: 182 | 1 Can anybody help me with this question? Thank you.
suppose 1 year treasury bond yield is 2.20, 5 year treasury bond yield is 3.
20;
a 2.33 year corporate bond has yield 5.20. Because there is no 2.33 year
treasury bond, I need first to estimate a fake 2.33 treasury bond yield; and
then use the corporate bond yield minus this 2.33 treasury bond yield to
get yield spread.
The dataset is like this:
corp_bondID, corp_yield, corp_maturity, 1yr_treasury_yield, 5yr_treasury_
yield,
xxxxxxxxxxx, 5.20, 2 |
|
