Zero-Volatility Spread - Z-spreadZero-Coupon ConvertibleZero-Coupon MortgageYield-Based OptionYield-

外汇网2021-06-19 20:54:20 45

The constant spad that will make the price of a security equal to the psent value of its cash flows when added to the yield at each point on the spot rate Treasury curve where a cash flow is received . In other words, each cash flow is discounted at the appropriate Treasury spot rate plus the Z-spad.

The Z-spad is also known as a "static spad".

|||A Z-spad calculation is different than a nominal spad calculation. A nominal spad calculation uses one point on the Treasury yield curve (not the spot rate Treasury yield curve) to determine the spad at a single point that will equal the psent value of the security's cash flows to its price.

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