Z Spread

Function Z Spread within
Bond with keys Bond Z Spread keys returns the Z-spread(s) of the referenced bond(s) as of a given reference date
Here the Z-spread is defined as the single rate z that when added to the time-dependent "risk-free" rate r, produces the time-dependent rate r+z, which when used to discount all future bond cash flows down to time , the resulting present value equals the given dirty bond price at the same time
This function requires the input of a "risk-free" curve - a treasury or swap curve - that is used to imply the time-dependent rate r
It also needs the bond
clean price as of time , so that the respective dirty price can be calculated.

If the settlement date is not explicitly given, it will be set to the bond's settlement date as implied by a trade transaction assumed to occur on the
trade date T₀ (typically today).

PRECAUTION: This function treats the referenced bond as if it were a fixed rate bond even if this is not the case!
All index-linked cash flows are treated as fixed cash flows that pay the amount forecasted by the corresponding curve.