QuoteOriginally posted by: sankar2Z Spread is the constant spread to the Zero Swap curve that one has to apply so that the discounted value of cashflows will equal present dirty price of Bond. ASW ( Gross Spread in Bloomberg) equals discrepancy between the bonds market price and its implied value computed by discounting its cashflows using the zereo swap curve. You need to divide this discrepancy by duration to convert it to a yield spreadConcerning ASW of Bloomberg, what is the theory behind to compute all valuations using swap rate's zero coupon? Sankar2, after you calculated the yield spread, would you use it plus coupon to calculate the price of a new bond? By the way, how fixed cpn and initial floating cpn of swap are calculated by bloomberg? floating cpn can be calculated by discount factors, but my computed number of the initial floating cpn is close but not the exact compared to bloomberg.Thanks a lot!
Last edited by ada
on January 17th, 2006, 11:00 pm, edited 1 time in total.