DEFINITION of 'ZeroVolatility Spread  Zspread'
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 Zspread.
The Zspread is also known as a "static spread".
INVESTOPEDIA EXPLAINS 'ZeroVolatility Spread  Zspread'
A Zspread 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.
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