注册 登录
上一主题：How did you find the Fixed Income section?
下一主题：一个关于养老金的问题，请大神回答
返回列表 发帖
pogo

Rank: 2

UID
223248 
帖子
226 
主题
109 
注册时间
2011-7-11 
最后登录
2013-8-23 
1# 跳转到 » 正序看帖
打印
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.

 

相关主题：

. urgent help please

. SMA is a discretionary account

. Difference between Portfolio variance and 2 asset portfolio

. Forwards and futures - Schweser pg. 38

. minimum-variance portfolio and the glbal minimum-variance

收藏 分享

sabaruch

Rank: 2

UID
223337 
帖子
254 
主题
54 
注册时间
2011-7-11 
最后登录
2013-9-27 
8#
发表于 2013-5-7 05:57 | 只看该作者
Should there be a bigger or equal to?

TOP

tobeornottobe

Rank: 2

UID
223457 
帖子
298 
主题
1 
注册时间
2011-7-11 
最后登录
2014-8-7 
7#
发表于 2013-5-7 05:53 | 只看该作者
Quick sanity check:
Nominal  Static  OAS
Correct?

TOP

chandsingh

Rank: 2

UID
223451 
帖子
355 
主题
11 
注册时间
2011-7-11 
最后登录
2014-8-7 
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.

TOP

Analyze_This

Rank: 2

UID
222321 
帖子
677 
主题
10 
注册时间
2011-7-2 
最后登录
2016-4-19 
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

TOP

strikethree

Rank: 2

UID
222319 
帖子
433 
主题
15 
注册时间
2011-7-2 
最后登录
2014-10-24 
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

TOP

NakedPuts

Rank: 2

UID
222280 
帖子
250 
主题
68 
注册时间
2011-7-2 
最后登录
2014-6-28 
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.

TOP

canadiananalyst

Rank: 2

UID
222292 
帖子
399 
主题
8 
注册时间
2011-7-2 
最后登录
2014-6-29 
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).

TOP

返回列表
上一主题：How did you find the Fixed Income section?
下一主题：一个关于养老金的问题，请大神回答