The Interpolated Spread, I-spread or ISPRD of a bond is the difference between its yield to maturity and the linearly interpolated yield for the same maturity on an appropriate reference yield curve. The reference curve may refer to government debt securities or interest rate swaps or other benchmark instruments, and should always be explicitly specified. [1] If the bond is expected to repay some principal before its final maturity, then the interpolation may be based on the weighted-average life, rather than the maturity. [2]
See also
References
- ^ O'Kane, Dominic; Sen, Saurav (March 2004). "Credit Spreads Explained" (PDF). Lehman Brothers. pp. 4–6. Archived from the original (PDF) on July 5, 2010.
- ^ Ho, Thomas S.Y.; Lee, Sang Bin (2004). "Valuation of a Bond". The Oxford Guide to Financial Modeling. Oxford University Press. p. 265. ISBN 978-0-19972770-4.
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The Interpolated Spread, I-spread or ISPRD of a bond is the difference between its yield to maturity and the linearly interpolated yield for the same maturity on an appropriate reference yield curve. The reference curve may refer to government debt securities or interest rate swaps or other benchmark instruments, and should always be explicitly specified. [1] If the bond is expected to repay some principal before its final maturity, then the interpolation may be based on the weighted-average life, rather than the maturity. [2]
See also
References
- ^ O'Kane, Dominic; Sen, Saurav (March 2004). "Credit Spreads Explained" (PDF). Lehman Brothers. pp. 4–6. Archived from the original (PDF) on July 5, 2010.
- ^ Ho, Thomas S.Y.; Lee, Sang Bin (2004). "Valuation of a Bond". The Oxford Guide to Financial Modeling. Oxford University Press. p. 265. ISBN 978-0-19972770-4.
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