2.2 Z-Spread(零波动利差) Z-Spread(Zero-Volatility Spread,零波动利差)是能够使得未来现金流贴现等于债券当前价格的补偿利差: 相对于名义利差,Z-Spread 考虑了债券贴现利率的实际期限结构,计算上更为合理;而名义利差则更为直观,可以直接看出债券到期收益率和同期限无风险利率之间的差值。 2.3OAS(期权调整利差) OAS...
G-spread是公司债和国债YTM的差，Z-spread是公司债和国债spot rate的差，这两个都体现的是公司债相对...
What the Zero-Volatility Spread (Z-Spread) Tells You The z-spread is the constant spread that needs to be added to a benchmark yield curve to make the price of a bond equal to the present value of its cash flows. Below is a sample spread: ...
对于Putable bond,Z-spread = Credit spread - long put option benefit 注意,对于Putable bond来讲,是投资者持有Put option,对投资者有利,因此债券的Spread补偿就会比较小,于是Putable bond的Z-spread是在Credit spread的基础上,再减去投资者Long put option benefit。 我们发现,Putable bond的OAS,只会反映其Credit...
在讲Z-spread时,G-spread是加在goverment bond的YTM上,此时ytm是一条直线。Z-spread是在收益率曲线向上倾斜的基础上添加的。 为什么一个是直线,一个是向上倾斜? 添加评论 0 0 1 个答案 WallE_品职答疑助手 · 2020年09月06日 以为一个是YTM 一个是spot rate YTM是持有到期的收益率,一定会持有到期,每年...
G-Spread = Yc − YgWhere Yc is the yield on non-treasury bond and Yg is the yield on government bond of the same maturity.I-spreadI-spread stands for interpolated spread. It is the difference between yield on a bond and the swap rate, i.e. the interest rate applicable to the ...
含权债的Z-spread主要用来补偿credit risk,liquidity risk,tax影响以及option影响。 OAS就是将z-spread剔除Option影响的spread。对于不含权债,OAS=Z-spread,反之,含权债券的OAS和Z-spread不相等。 例如对于callable bond,Z-spread > OAS 因为callable bond相当于投资者承担了发行人可能提前赎回债券的风险,所以需要给投...
但一旦Z-spread/Z-DM确定,那对于所有期限的Cash flow都适用同一个Z-spread/Z-DM Z SPREAD 和 Z DM 的不同点仅在于 Z SPREAD 对应的是fixed coupon bond, Z DM 对应的是 浮动 coupon bond, 对吗? 是的。 但他俩基本不会放在一起比,更多的是固定利率债券Z-spread和OAS比 浮动利率债券Z-DM和DM比。
As the very dimension itself began to collapse, Z arrived and managed to stop its spread with a boosted Zestium Beam. However, a large area of the city was left devastated. D4 Undeterred by this accident, GAF continued its research into stabilising the D4 after disbanding STORAGE. During...
of the bond, 由于每期的无风险利率是不同的，basis point 是一个固定的Z-spread(即每期Z-spread都...