翻訳と辞書 Words near each other ・ Z8 Encore! ・ Z8 GND 5296 ・ Z800 ・ Z800 3DVisor ・ Z8001 ・ Z80182 ・ Z84 ・ Z-Ro vs. the World ・ Z-Rock (Bulgaria) ・ Z-Rock Hawaii ・ Z-SAN ・ Z-scan technique ・ Z-Scars ・ Z-series ・ Z-source inverter ・ Z-spread ・ Z-Star ・ Z-Stoff ・ Z-TER (Z 21500) ・ Z-test ・ Z-Train ・ Z-transform ・ Z-Trim ・ Z-Trip ・ Z-trip discography ・ Z-tube ・ Z-URC ・ Z-value (temperature) ・ Z-variant ・ Z-Wave Dictionary Lists mini英和辞書 mini和英辞書 Webster 1913 Latin-English FOLDOC Wikipedia English ウィキペディア

翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Z-spread ： ウィキペディア英語版 Z-spread The Z-spread, ZSPRD, Zero-volatility spread or Yield curve spread of a mortgage-backed security (MBS) is the parallel shift or spread over the zero-coupon Treasury yield curve required for discounting a pre-determined cash flow schedule to arrive at its present market price. The Z-spread is also widely used in the credit default swap (CDS) market as a measure of credit spread that is relatively insensitive to the particulars of specific corporate or government bonds. Since the Z-spread uses the entire yield curve to value the individual cash flows of a bond, it provides a more-realistic valuation than an interpolated yield spread based on a single point of the curve, such as the bond's final maturity date or weighted-average life. However, the Z-spread does not incorporate variability in cash flows, so a fuller valuation of a rate-dependent security often requires the more-realistic (and more-complicated) option-adjusted spread. ==Definition== For mortgage-backed securities, a projected prepayment rate tends to be stated; for example, the PSA assumption for a particular MBS might equate a particular group of mortgages to an 8-year amortizing bond with 6% mortality per annum. This gives a single series of nominal cash flows, as if the MBS were a riskless bond. If these payments are discounted to net present value (NPV) with a riskless zero-coupon Treasury yield curve, the sum of their values will tend to ''overestimate'' the market price of the MBS. This difference arises because the MBS market price incorporates additional factors such as liquidity and credit risk and embedded option cost. The Z-spread of a bond is the number of basis points (bp) that one needs to add to the Treasury yield curve (or technically to Treasury forward rates), so that the NPV of the bond cash flows (using the adjusted yield curve) equals the market price of the bond (including accrued interest). The spread is calculated iteratively. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Z-spread」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.