Zero-Volatility Spread (Z-Spread)

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A lot of other countries have central government systems that buy drugs for other people. That can reduce the fluctuations.

— Aaron Kesselheim

The Zero-volatility spread (Z-spread) is the constant spread that makes 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 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.

CFA : Fixed Income: Concept of Z- Spread

Title: CFA : Fixed Income: Concept of Z- Spread
Runtime: 4:24
View count: 36,641
Date posted: Feb 25, 2014

CFA level I: Fixed Income - G- spread, Z- spread, OAS

Title: CFA level I: Fixed Income - G- spread, Z- spread, OAS
Runtime: 27:13
View count: 20,642
Date posted: Aug 22, 2019

CFA Level 1 Fixed Income: Zero-volatility & Option-Adjusted Spreads

Title: CFA Level 1 Fixed Income: Zero-volatility & Option-Adjusted Spreads
Runtime: 26:07
View count: 3,835
Date posted: Apr 26, 2015

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