what is Zero Volatility Speed

[nivetha]

The Z-spread helps analysts discover if there is a discrepancy in a bond’s price. Because the Z-spread measures the spread that an investor will receive over the entirety of the treasury yield curve, it gives analysts a more realistic valuation of a security instead of a single-point metric, such as a bond’s maturity date.

[wesley]

It is the constant spread that makes the price of the 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 the cash flow is received.

[Arunkumar.B]

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 a cash flow is received.

[jeevithakomu]

Zero volatility speed or yield curve spread of a mortgage backed security is the parallel shift or spread over the zero coupon treasury yield curve required to discounting a pre determined cash flow schedule to arrive at present market price.

[Vishnu varadhan]

• The problem with nominal spread is that it measures the spread at just one point on the yield curve. The z-spread solves this problem by considering the spot yield curve instead of the standard yield curve.

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