Spread Analysis

Overview

Spreads are values that are added to a fixed income curve, typically to discount instruments for which some additional pricing considerations need to be applied, such as credit risk or optionality.

When a spread is applied to a curve, the size of the spread is often indicative of the size of the risk being modeled.

Topics

• Static Spread - a single spread that is applied across the entire curve in order to measure the net effect of credit and opitonality.