Supriya Ghosh (Editor)

I spread

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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. 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.

References

I-spread Wikipedia