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Nominal spread, static spread, zero-volatility spread, option-adjusted spread

July 19, 2012
  • Nominal spread = Yield to Maturity of Bond – YTM of similar U.S. Treasury
  • Static spread not over treasury’s YTM but over each of the spot rate’s term structure. The same spread is added to all risk-free spot rates.
  • Zero-volatility spread is over the entire Treasury spot rate curve.
  • Option-adjusted spread also over entire Treasury spot rate curve but accounts for options.
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From → Asset Valuation

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