An Asset Swap Spread contract exchanges the annual defaultable coupons computed on the defaultable term structure $SPS^1$: $$ SPS^1 = {i^1(0,1) = 0.025; i^1(0,2) = 0.03; i^1(0,3)=0.018} $$ versus s the two-monthly floating leg computed on the term structure $SPS^2$ (tenor indexation) and a spread S $$ SPS^2 = {i^2(0,1) = 0.03; i^2(0,2) = 0.028; i^2(0,3)=0.021}. $$ Define the spread S assuring the no-arbitrage assumption.
What I was thinking was to find the ZCB prices from the spot curve for the fixed leg in order to find the value of the defaultable bond, while for the floating leg I was thinking about calculating the forward rates for each year and divide them by 6, using the tenor indexation.
My question is, If I do not know the value of the coupons, how can I solve this exercise?
