Different Z Spread Implementations


Z Spread for a bond needs to be implementaed in 3 different ways:
  • As a yield basis between the yielld from the theoretical riskless price (i.e, price purely by PV'ing from the discount curve and the credit curve) and the yield implied by the market price - this should be called bond basis.
  • As a parallel shift needed on the discount curve to reprice the bond to market price - this is more accurately referred to as OAS or discount margin I think
  • First by constructing an implied zero curve from the discount curve using the quoting day count/frequency/settle parameters, and then calcu;lating the shift needed on that curve to PV the bond to the market price.


Lakshmik wrote Nov 13, 2014 at 2:05 PM

Fixed in changeset e1d55545600a