I have a bond with the following cash flow and maturity:
Cash flow vector Maturity 4 0.479452055 4 1.479452055 4 2.479452055 4 3.479452055 104 4.479452055
I want to derive the price by discounting using the spot curve (see Excel-File for exact values) per 2015-12-31 and a credit spread of 0,054430033:
Spot Curve Maturity -0.8% 1 -0.8% 2 -0.8% 3 -0.7% 4 -0.5% 5
I tried this in the Excel-Spreadsheet (over here), however the prices I calculate differ from the price of my bond valuation engine where 98.22 is provided (in two programmes independently). I guess the discount factors I use are wrong. Yet I do not know how to construct the proper discount curve with these inputs. Can you please point me to the right direction?
Update: I have been thinking about my issue and spotted a maturity mismatch since the spot curve is provided for maturity 1 to 10 whilst my first cash flow is at 0.479 - probably this is a problem as well?