Is anyone able to provide their understanding of these? After reading Scweser and my own notes I think it would be good to read it in a different way just to solidify my understanding.
Nominal spread is the difference in YTM between the risky bond and a risk-free bond (usually a Treasury) of the same maturity; it is a spread added to one point on the Treasury par curve. Thus, the nominal spread ignores the term structure of interest rates; it uses only one point, not the entire yield curve.
The Z-spread is added to every point on the (zero-volatility) spot curve; it uses the entire yield curve, not just one point.
The OAS is added to every point on the (nonzero-volatility) spot curve; it uses the entire yield curve, not just one point.
The difference between the Z-spread and the OAS is that the Z-spread includes the spread for any embedded options (along with the spread for all other risks associated with the bond), whereas the OAS removes the spread for the embedded options, leaving only the spread for all other risks associated with the bond. The Z-spread minus the OAS is the price of the empedded option(s), measured in bp of return (instead of being measured in price difference).
Thanks again for your help.
Can we say that OAS is the Option-Free Equivalent Spread?
Sounds good to me.