For the purpose of calculation, we start with an assumption for the z-spread. One takes the Treasury spot rates for each maturity, adds the z-spread to it, and uses this new rate as a discount rate for each maturity to price the bond. The correct z-spread is the one that makes the...
Definition The zero-volatility spread (z-spread) is the constant spread that makes the price of a security equal to the present value of its cash flows when added to the yield at each point on the spot rate Treasury curve where cash flow is received. ...
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