Zero-Volatility Spread - Z-spread

Filed Under » ,
Dictionary Says

Definition of 'Zero-Volatility Spread - Z-spread'

The constant spread that will make the price of a security equal to the present value of its cash flows when added to the yield at each point on the spot rate Treasury curve where a cash flow is received . In other words, each cash flow is discounted at the appropriate Treasury spot rate plus the Z-spread. 


The Z-spread is also known as a "static spread".
Investopedia Says

Investopedia explains 'Zero-Volatility Spread - Z-spread'

A Z-spread calculation is different than a nominal spread calculation. A nominal spread calculation uses one point on the Treasury yield curve (not the spot rate Treasury yield curve) to determine the spread at a single point that will equal the present value of the security's cash flows to its price.

Sign Up For Term of the Day!

Try Our Stock Simulator!

Test your trading skills!

Related Definitions

  1. Spread

    1. The ...
  2. Spot Price

    The current ...
  3. Yield Curve

    A line that ...
  4. Spot Rate

    The price that ...
  5. Spot Rate Treasury Curve

    A yield curve ...
  6. Agency Bond

    A bond issued by ...
  7. Convertible Arbitrage

    An investing ...
  8. Liquidation

    1. When a ...
  9. Canada Savings Bond - CSB

    A financial ...
  10. Illiquid

    The state of a ...

Articles Of Interest

  1. The Impact Of An Inverted Yield Curve

    Find out what happens when short-term interest rates exceed long-term rates.
  2. Get A Short-Term Advantage In The Money Market

    This investment vehicle is often the perfect stop-gap measure for growing your money.
  3. This Is Your Brain On Stocks

    Find out how the human mind can hurt investors' portfolios.
  4. Should You Invest Your Entire Portfolio In Stocks?

    It is true that stocks outperform bonds and cash in the long run, but that statistic doesn't tell the whole story.
  5. 5 Tips For Diversifying Your Portfolio

    A diversified portfolio will protect you in a tough market. Get some solid tips here!
  6. 5 Popular Portfolio Types

    Learning how to build these portfolios will increase your investing confidence and give you financial control.
  7. How To Invest When You're Deep In Debt

    Debt is one of the biggest obstacles that prevents people from investing - but it shouldn't be.
  8. Finding Your Investing Comfort Zone

    Choosing the right investments for you is the best way to feel comfortable with your portfolio.
  9. Investors: Rely On Your Gut

    Find out how your personality and natural instincts can direct your investment choices.
  10. The Fundamental Mechanics Of Investing

    Here's a story that demonstrates why stocks and bonds were created and how they are valued.

comments powered by Disqus
Recommended
Loading, please wait...
Trading Center