27.12 Approximate CDs Spread y be the yield on bond issued by reference entity with maturity T x be the yield on risk-free bond with maturity t a be average value of A(t) a* be average value for A(t)if reference bond is a par-yield bond with maturity T y x)1-kiaR S≈ 1-R(1+a* Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 27.12 Approximate CDS Spread • Let – y be the yield on bond issued by reference entity with maturity T – x be the yield on risk-free bond with maturity T – a be average value of A(t) – a* be average value for A(t) if reference bond is a par-yield bond with maturity T ( ) ( )( ) 1 垐 ˆ 1 1 * y x R aR s R a − − −      − +