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ksmchan
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Joined: May 18th, 2011, 2:40 pm

Credit spread of Fixed coupon bond and Floater

August 10th, 2012, 5:49 am

Hi all, I use the Bloomberg function "SWPM -ASW" to calculate the credit spread of a bond. Within this page, it allows me to choose receive fixed or receive float for calculation and both will get different result. Which one I should choose in order to calculate the credit spread correctly?Also what's the different between the z-spread and swap spread quote in this page?Thanks.Kevin