Spread Analyzer

How much a bond pays over the risk-free curve, measured four ways: against Treasury yields, swap rates, the whole Treasury zero curve, and, for a callable bond, after taking out the value of the call.

Learning focus: why the four spreads differ and when each one is the right measure.

Bond

Settlement

Maturity

Coupon

Frequency

Day count

Clean price

Benchmarks

Treasury curve

Treasury curve date

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Swap rates (%)

Sample SOFR swap rates, not market data: there is no free source. Replace them with current quotes.

Calls (for the OAS)

No calls: the OAS equals the Z-spread. Add the dates and prices at which the issuer can call the bond.

Rate tree

Volatility

Steps a year

The tree is calibrated to the Treasury curve as in B6; each call is exercisable on its date at its price plus accrued interest.

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