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pogo

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tT
发表于 2013-5-7 05:23 | 只看该作者

Difference between nominal and Z spread?

between, someone, question
Can someone shed some light on this question? Thanks in advance.

 

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canadiananalyst

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2#
发表于 2013-5-7 05:30 | 只看该作者
Another way to say would be: Nominal is on the yield curve (curve of YTMs) and Z spread is on spot curve(curve of spot rates).

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NakedPuts

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3#
发表于 2013-5-7 05:34 | 只看该作者
So in what situation is it appropriate to use the nominal spread vs. z spread? Thanks again.

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strikethree

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4#
发表于 2013-5-7 05:38 | 只看该作者
use nominal only if they tell you that yield curve is flat.. that is the spread will remain the same until maturity

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Analyze_This

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5#
发表于 2013-5-7 05:41 | 只看该作者
z spread in the other cases if you don’t have an option on the bond

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chandsingh

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6#
发表于 2013-5-7 05:45 | 只看该作者
Of course is the yield curve is flat the nominal spread should equal the Z spread.
But as florin said, only use nominal if you are told to do so. Nominal is a inferior spread.

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tobeornottobe

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7#
发表于 2013-5-7 05:53 | 只看该作者
Quick sanity check:
Nominal  Static  OAS
Correct?

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sabaruch

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8#
发表于 2013-5-7 05:57 | 只看该作者
Should there be a bigger or equal to?

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