http://dbpedia.org/ontology/abstract
|
The Z-spread, ZSPRD, zero-volatility sprea … The Z-spread, ZSPRD, zero-volatility spread or yield curve spread of a bond is the parallel shift or spread over the zero-coupon Treasury yield curve required for discounting a pre-determined cash flow schedule to arrive at its present market price. The Z-spread is also widely used in the credit default swap (CDS) market as a measure of credit spread that is relatively insensitive to the particulars of specific corporate or government bonds. Since the Z-spread uses the entire yield curve to value the individual cash flows of a bond, it provides a more realistic valuation than an interpolated yield spread based on a single point of the curve, such as the bond's final maturity date or weighted-average life. However, the Z-spread does not incorporate variability in cash flows, so a fuller valuation of an interest-rate-dependent security often requires the more realistic (and more complicated) option-adjusted spread (OAS).complicated) option-adjusted spread (OAS).
|
http://dbpedia.org/ontology/wikiPageID
|
4498217
|
http://dbpedia.org/ontology/wikiPageLength
|
3947
|
http://dbpedia.org/ontology/wikiPageRevisionID
|
1043646896
|
http://dbpedia.org/ontology/wikiPageWikiLink
|
http://dbpedia.org/resource/Zero-coupon_bond +
, http://dbpedia.org/resource/Mortgage_backed_security +
, http://dbpedia.org/resource/Market_%28economics%29 +
, http://dbpedia.org/resource/Vertical_translation +
, http://dbpedia.org/resource/Accrued_interest +
, http://dbpedia.org/resource/Yield_to_maturity +
, http://dbpedia.org/resource/Price +
, http://dbpedia.org/resource/Maturity_date +
, http://dbpedia.org/resource/Forward_rate +
, http://dbpedia.org/resource/Interest_rate +
, http://dbpedia.org/resource/Weighted-average_life +
, http://dbpedia.org/resource/Yield_spread +
, http://dbpedia.org/resource/Credit_risk +
, http://dbpedia.org/resource/I-spread +
, http://dbpedia.org/resource/Bond_%28finance%29 +
, http://dbpedia.org/resource/Credit_spread_%28bond%29 +
, http://dbpedia.org/resource/Corporate_bond +
, http://dbpedia.org/resource/Category:Credit_risk +
, http://dbpedia.org/resource/Yield_curve +
, http://dbpedia.org/resource/Market_liquidity +
, http://dbpedia.org/resource/Asset_swap_spread +
, http://dbpedia.org/resource/Net_present_value +
, http://dbpedia.org/resource/Embedded_option +
, http://dbpedia.org/resource/Basis_point +
, http://dbpedia.org/resource/Option-adjusted_spread +
, http://dbpedia.org/resource/PSA_prepayment_model +
, http://dbpedia.org/resource/Government_bond +
, http://dbpedia.org/resource/Discounting +
, http://dbpedia.org/resource/Category:Bond_valuation +
, http://dbpedia.org/resource/Category:Embedded_options +
, http://dbpedia.org/resource/Compound_interest +
, http://dbpedia.org/resource/Amortization_%28business%29 +
, http://dbpedia.org/resource/Credit_default_swap +
, http://dbpedia.org/resource/Category:Fixed_income_analysis +
, http://dbpedia.org/resource/Prepayment_of_loan +
, http://dbpedia.org/resource/Treasury_security +
|
http://dbpedia.org/property/wikiPageUsesTemplate
|
http://dbpedia.org/resource/Template:Bond_market +
|
http://purl.org/dc/terms/subject
|
http://dbpedia.org/resource/Category:Credit_risk +
, http://dbpedia.org/resource/Category:Fixed_income_analysis +
, http://dbpedia.org/resource/Category:Bond_valuation +
, http://dbpedia.org/resource/Category:Embedded_options +
|
http://purl.org/linguistics/gold/hypernym
|
http://dbpedia.org/resource/Shift +
|
http://www.w3.org/ns/prov#wasDerivedFrom
|
http://en.wikipedia.org/wiki/Z-spread?oldid=1043646896&ns=0 +
|
http://xmlns.com/foaf/0.1/isPrimaryTopicOf
|
http://en.wikipedia.org/wiki/Z-spread +
|
owl:sameAs |
http://dbpedia.org/resource/Z-spread +
, http://rdf.freebase.com/ns/m.0c5mlw +
, http://www.wikidata.org/entity/Q8062844 +
, https://global.dbpedia.org/id/4xb5V +
|
rdf:type |
http://dbpedia.org/ontology/Agent +
|
rdfs:comment |
The Z-spread, ZSPRD, zero-volatility sprea … The Z-spread, ZSPRD, zero-volatility spread or yield curve spread of a bond is the parallel shift or spread over the zero-coupon Treasury yield curve required for discounting a pre-determined cash flow schedule to arrive at its present market price. The Z-spread is also widely used in the credit default swap (CDS) market as a measure of credit spread that is relatively insensitive to the particulars of specific corporate or government bonds.of specific corporate or government bonds.
|
rdfs:label |
Z-spread
|