Just wondering if someone could clarify why with an upward sloping yield curve the z-spread is larger than the nominal spread. While Z spread is less than the nominal spread when the spot yield curve in negatively sloped - Thanks.
Just wondering if someone could clarify why with an upward sloping yield curve the z-spread is larger than the nominal spread. While Z spread is less than the nominal spread when the spot yield curve in negatively sloped - Thanks.