Glossary

A score that standardises observation from a normal distribution. It represents the number of standard deviations a given observation is from population mean.

Calculates a constant yield spread over a government spot curve.

Bond that makes no periodic interest payment. Issued at a discount from its par value and its annual interest expense is implied, but not explicitly paid. For example, a $1000 par, 2-year zero-coupon bond can be sold at a discounted price of $900 at issuance.  The price of the bond will drift up to its par value of $1000 as ...