is nominal spread what we refer sometimes as z spread? z spread = OAS+ any kind of creadit spread? Thanks.
z spread is the spread on the spot rate.
Zero volatility spread - Z spread - nominal spread - all mean the same thing Z-spread = OAS (option adjusted spread + option cost
nominal spread reflects differences btw YTM (btw a security and 1 point on a treasury yield curve) z-spread - btw security and a treasury spot-rate
I think Nominal Spread and Z-spread are slightly different. Nominal Spread - as libra has mentioned above is the difference between yields on a security and a corresponding Treasury security of the same YTM and maturity. Z-Spread - is an addition of a constant spread to all spot rates on a bond and finding that common spread that makes equates the PV of Cash flows to the Bond price. What this means is say you have a 3 year security with a price of say 90. Spot rates for the 3 years is known. Add a common spread value (delta r) to all the spot rate values so as to make the Price=90 with the spot + delta r at each maturity point.