I-spread
Encyclopedia
The Interpolated Spread or I-spread or ISPRD is the difference between the yield to maturity
of the bond
and the linearly interpolated yield to the same maturity on an appropriate reference curve.
Yield to maturity
The Yield to maturity or redemption yield of a bond or other fixed-interest security, such as gilts, is the internal rate of return earned by an investor who buys the bond today at the market price, assuming that the bond will be held until maturity, and that all coupon and principal payments...
of the bond
Bond (finance)
In finance, a bond is a debt security, in which the authorized issuer owes the holders a debt and, depending on the terms of the bond, is obliged to pay interest to use and/or to repay the principal at a later date, termed maturity...
and the linearly interpolated yield to the same maturity on an appropriate reference curve.