#bonds #finance #yield-to-maturity #z-spread
Conventionally, the zero rates for calculating Z-spread are determined from the
Treasury curve, with semi-annual compounding.
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Z-spread - Wikipedia, the free encyclopediaonal factors such as liquidity and credit risk. The Z-spread quantifies the impact of these additional factors. It is the spread you need to add to the curve you are discounting with in order to generate a price that matches the market price.
<span>Conventionally, the zero rates are determined from the Treasury curve, with semi-annual compounding.
The Problem with YTM spreads[edit]
Coupon Paying bonds are essentially portfolios of Zero Coupon Bond components and the Yield to Maturity of such instruments can be thought of as being Summary
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