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?



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