credit-spread-measureslisted

Work out which spread a corporate bond quote actually is and what it was measured against, so two "spreads" on the same bond stop disagreeing. TRIGGER - Z-spread, I-spread, G-spread, benchmark spread, spread to Treasuries, asset swap spread, ASW, par/par asset swap, discount margin, DM on a floater, quoted margin, OAS, option-adjusted spread, option cost, static spread, zero-volatility spread, "my Z-spread and my G-spread disagree", "is this spread over Treasuries or over swaps", "YTM minus the 5-year Treasury", BondFunctions.zSpread, "why is my OAS lower than my Z-spread", spread on a callable bond. SKIP for CDS spreads, points upfront and the ISDA model (cds-mechanics-and-upfront), for hazard rates, Merton and default probability (credit-risk-models), for building, bootstrapping or interpolating the underlying curve (term-structure-models), and for where the price and the trade came from (corporate-bond-data-and-trace).
howard-lynn-ye/fin-skills · ★ 1 · AI & Automation · score 77

Install: claude install-skill howard-lynn-ye/fin-skills

# Credit spread measures **Six numbers on one bond are all called "the spread", and a quote almost never says which.** They differ by a *reference curve*, not by a credit view: G against one point of the government par curve, I against one point of the swap curve, Z against the whole zero curve, ASW against the swap annuity, DM against a projected index, OAS against a lattice you had to pick a volatility for. Nothing raises when you compare two of them. Every figure below is printed by `scripts/spreads.py` (runs in **0.9 s**; QuantLib optional, imported inside `quantlib_cross_check`). ✅ Measured means this file produced it on 2026-09-09 with QuantLib 1.43, numpy 2.2.6, scipy 1.13.0, Python 3.11.3. > **The rule:** a spread is a **pair** — the number and the curve it was measured against. > "YTM minus the government **zero** rate" is not the G-spread, and a **Z-spread on a callable > bond is not an OAS**. ## 1. ✅ One bond, six spreads A 5-year 3% annual-coupon corporate on a steep government zero curve (**3.00 / 3.50 / 4.00 / 4.50 / 5.00%** at 1–5y, annual compounding), priced at a **150 bp Z-spread**. Swap zeros are the same curve plus a widening 10 → 26 bp swap spread. ✅ Measured: **price 85.700750, YTM 6.434845%**, government 5y **zero 5.000000%** but 5y **par 4.902625%**, swap 5y par 5.149527%. | measure | ✅ bp | measured against | |---|---|---| | **G-spread** (YTM − govt **par**) | **153.22** | one point of the government par curve | | 🚨 **"YTM − govt ZERO"** | **14