Serving the Quantitative Finance Community
Z Drop
I searched through the forums and found nothing exactly on this topic. What is the Z-Drop of a bond and how is it calculated. Once one has the results of doing the z-drop; what do the answers mean - how can they be interpreted?I have seen it used mostly in reference to ABS's. Is this the norm or just coincidence?Any related topics or resources on this subject would be appreciated. Thanks.Have a great weekend everyone. Ty