I-spread

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The Interpolated Spread, I-spread or ISPRD of a

principal before its final maturity, then the interpolation may be based on the weighted-average life, rather than the maturity.[2]

See also

References

  1. ^ O'Kane, Dominic; Sen, Saurav (March 2004). "Credit Spreads Explained" (PDF). Lehman Brothers. pp. 4–6. Archived from the original (PDF) on July 5, 2010.
  2. ISBN 978-0-19972770-4
    .


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