Serving the Quantitative Finance Community

 
User avatar
dtm541
Topic Author
Posts: 1
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: 30
Joined: June 6th, 2005, 9:49 am
Location: Germany

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