The zero-volatility spread (z-spread) is a measure of the spread of: (A) All points on the spot curve (B) All points on the Treasury yeid curve Definition says “The entire Treausry spot rate curve”. Not sure if A or B Thanks
would go with spot curve on that one as the treasury yield curve is the YTM of each tenor. the spot yield curve, corresponds to the actual rate for the given maturity.
A and B seem to say the same thing is the spot rates refer to the Treasury spot rates. I think that the most important thing to remember is that the Z-spread is tied to risk free (Treasury) rates, so I would say that B would be a better answer.
© All points on the treasury spot yield curve
yes, the spot rate refers to the treasury spot rate (i actually think cfa should have used spot libor when explaining the z-spread, but that is beside the point). but the question did not say spot treasury curve, rather it said the treasury yield curve. This is different that the spot treasury curve in that the treasury yield curve is the YTM for each maturity bucket. The YTM is NOT the same thing as the spot rate.