hi all, there was a question relating to z-spread & its relation with the yiled curve, anybody remeber it, thanks
Vaguely. The Z-spread does not account for changes in volatility, as far as I know. The name “zero-volatility spread” would suggest that. It is essentially a constant spread added to treasury yields at every point on the curve. Recall the formula for calculating it, where Zs is found only once.