SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
dtm541
Topic Author
Posts: 2
Joined: July 14th, 2002, 3:00 am

Z-Spread Conventions

March 26th, 2019, 3:10 pm

Does anyone have a strong opinion on how best to quote/display Z-Spreads for a range of bonds with varying characteristics? Do people prefer the day-count and compounding conventions to follow the individual bond being spread, the underlying risk-free (ie Swap) curve, be fixed at ACT/360 to match CDS, or something else? 
 
User avatar
pcaspers
Posts: 695
Joined: June 6th, 2005, 9:49 am

Re: Z-Spread Conventions

October 5th, 2019, 6:03 pm

to make z-spreads comparable across several bonds it should use unique conventions I'd say
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On