Ok, but at least the calculations looks correct??? It also gets bigger with time.
For example, for a 6 year maturity, (1.02956)/(1.02745) = 4% vs 3.46% in the curriculum.
54 bps difference is huge.
I don’t see this in the errata and I don’t have enough confidence in my FI to assume that I’m correct in my calculations. Could somebody please confirm?
I’m not worried about the numbers. I just want to make sure that the calculations that I’m doing are correct. Of course, in Fixed income, 54 bps is huge, but again, just want to know if the way I’m thinking of the problem is actually the right way to do it or not.