G-Spread (Government Spread)
Computes the G-spread, the difference between a bond's yield and the yield of a government bond of comparable maturity. It's the most direct measure of a bond's credit risk premium: how much extra the market demands to lend to a corporate issuer instead of the treasury. The result comes in basis points, the standard unit of the credit market. Enter the bond's yield and the reference government bond's yield.
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G-Spread (Government Spread)
Computes the G-spread, the difference between a bond's yield and the yield of a government bond of comparable maturity. It's the most direct measure of a bond's credit risk premium: how much extra the market demands to lend to a corporate issuer instead of the treasury. The result comes in basis points, the standard unit of the credit market. Enter the bond's yield and the reference government bond's yield.
How much more credit pays than the government
When a company issues debt, it has to pay more than the government for the same maturity, because the default risk is higher. The G-spread measures exactly that extra: the difference between the corporate bond's yield and that of a government bond of similar maturity. It's the most direct way to see a bond's credit risk premium.
The result comes in basis points, the credit market's ruler, where a hundred points equal one percent. A G-spread of 220 bps says the issuer pays 2.2 percentage points above the treasury. The larger the spread, the more the market doubts the ability to pay, or the more it demands to take that risk. Tracking the spread's change over time reveals how the issuer's perceived risk shifts.
Enter the bond's yield and the reference government bond's yield, both as a percentage per year. The tool returns the G-spread in basis points and percentage points. For a fair comparison, pick the government bond with the maturity as close as possible to the analyzed bond.
Related Tools
I-Spread (Swap Spread)
Computes the I-spread, the difference between a bond's yield and the interpolated swap rate of the same maturity. It measures the bond's credit premium against the swap curve, which many consider a better reference than government bonds for pricing credit. The result comes in basis points. It's a cousin of the G-spread, but uses the swap rather than the government as the comparison base. Enter the bond's yield and the swap rate of the same maturity.
Spread Duration (Numerical)
Computes the spread duration of a bond by finite differences, repricing the instrument for an up and a down move in the credit spread: (V− − V+)/(2·V0·Δs). While duration measures sensitivity to changes in the risk-free rate, spread duration isolates sensitivity to the credit spread, the premium the market charges for issuer risk. It's essential for managing credit portfolios, where spread risk often dominates. Enter the base price, the prices with higher and lower spread and the spread change used.
Realized Yield with Reinvestment
Computes the realized compound (horizon) yield of a bond held to maturity, taking into account the actual reinvestment rate of the coupons. Unlike YTM, which assumes coupons earn the bond's own rate, this calculation uses the rate you can actually get when reinvesting — hence the concept of reinvestment risk. It adds the future value of reinvested coupons to the principal and returns the annualized yield (BEY and effective annual). Enter the face, the coupon per period, the reinvestment rate, the periods, the purchase price and the periods per year.
Nelson-Siegel Yield Curve
Computes the spot rate for any maturity using the Nelson-Siegel model, the most widely used way to fit the yield curve with few parameters. The three betas control the long-run level, the slope and the curvature, while lambda sets where the curve takes shape. Central banks and fixed-income desks use this model to smooth and interpolate curves from traded bonds. Enter the three betas in percent, the lambda and the desired maturity.
Z-spread (Zero-Volatility Spread)
Computes a bond's Z-spread: the constant spread added to the entire zero (spot) rate curve so the present value of its cashflows equals the market price. Unlike the nominal spread, which uses a single point, it accounts for the whole shape of the curve; for an option-free bond the Z-spread equals the OAS. Enter the cashflow times and amounts, the zero rate at each node and the price; the result is in basis points.
Effective Convexity (Numerical)
Computes the effective convexity of a bond by finite differences, repricing the instrument for an up and a down yield move: (V− + V+ − 2·V0)/(V0·Δy²). Unlike analytical convexity, the effective version works even for bonds with uncertain cash flows, such as those with embedded options, because it only needs the three prices. It complements duration to better estimate the price change in large rate moves. Enter the three prices and the yield change used.
The results provided by this tool are for general informational and educational purposes only and do not constitute professional, financial, medical, legal, tax or accounting advice. Always confirm important decisions with a qualified professional and official sources.