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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.[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]

See also[edit]


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