## Z Spread

Function

**within Bond with keys Bond Z Spread keys returns the Z-spread(s) of the referenced bond(s) as of a given reference date**

*Z Spread*

*Tˢ*Here the Z-spread is defined as the single rate

**that when added to the time-dependent "risk-free" rate**

*z***, produces the time-dependent rate**

*r***, which when used to discount all future bond cash flows down to time**

*r+z***, the resulting present value equals the given dirty bond price at the same time**

*Tˢ*

*Tˢ*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.**

*Tˢ*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**

*Tˢ***(typically today).**

*T₀*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.