I-spread

The Interpolated Spread or I-spread or ISPRD of a bond is the difference between its yield to maturity and the linearly interpolated yield for the same maturity on an appropriate reference yield curve.^[1] If the bond is expected to repay some principal before its final maturity, then the interpolation may be based on the weighted-average life, rather than the maturity.^[2]

References

↑ Credit Spreads Explained
↑ Ho, T.; Lee, S. "Valuation of a Bond". The Oxford Guide to Financial Modeling.

Bond market

Bond Debenture Fixed income

Types of bonds by issuer	Agency bond Corporate bond Senior debt Subordinated debt Distressed debt Emerging market debt Government bond Municipal bond

Types of bonds by payout	Accrual bond Auction rate security Callable bond Commercial paper Contingent convertible bond Convertible bond Exchangeable bond Extendible bond Fixed rate bond Floating rate note High-yield debt Inflation-indexed bond Inverse floating rate note Perpetual bond Puttable bond Reverse convertible securities Zero-coupon bond

Bond valuation	Clean price Convexity Coupon Credit spread Current yield Dirty price Duration I-spread Mortgage yield Nominal yield Risk-free bond Yield to maturity Z-spread

Securitized products	Asset-backed security Collateralized debt obligation Collateralized mortgage obligation Commercial mortgage-backed security Mortgage-backed security Yield-curve spread

Bond options	Callable bond Convertible bond Embedded option Exchangeable bond Extendible bond Option-adjusted spread Puttable bond

Institutions	Commercial Mortgage Securities Association (CMSA) International Capital Market Association (ICMA) Securities Industry and Financial Markets Association (SIFMA)

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I-spread

See also

References