CFA 问题， Z-spread 什么时候为零？？？大神素来呀 贴现率

spreads

level 1,的一道题， the zero volatility spread will be zero for an on-the-run treasury bond， 这里就不懂了，zero spread 不是至少要treasury bond 和risky bond 两个债券，在每期贴现率上加一个相同的数字使得两个yield curve 相同吗？这一个treasury bond 怎么就为零了呢？？小弟给跪了，求大神赐教啊.....

chandsingh

Z Spread 是加在Treasury curve 上的所以on the run treasury 的话就不需要加了，所以=0

adjani.zhang

建议你重新理解z-spread

下述定义是错的：
zero spread 不是至少要treasury bond 和risky bond 两个债券，在每期贴现率上加一个相同的数字使得两个yield curve 相同吗？

adjani.zhang

Definition of 'Zero-Volatility Spread - Z-spread'

The constant spread that will make 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 a cash flow is received . In other words, each cash flow is discounted at the appropriate Treasury spot rate plus the Z-spread.