Z-Spreadfixed_income
The Z-spread, short for zero-volatility spread, is the fixed yield spread added to the U.S. Treasury yield curve that makes the present value of a bond's cash flows equal to its current market price, assuming a model wit…
Terms starting with “Z”
3 definitions found.
Zero Coupon Bondfixed_income
Zero Coupon Bond (ZCB) is a debt security that does not pay periodic interest. It is issued at a discount to its face value and redeemed at maturity for the face value.
Zommaderivatives
Zomma is a second-order option Greek that measures the rate at which an option's Gamma changes as the volatility parameter (sigma) changes.