Bond Analytics: OFZ G-Curve, Z-Spread & Floater Predictor
Firewire Analytics leverages institutional bond valuation methods: comparison against the zero-coupon yield curve (G-Curve), Z-spread calculation over government debt, and floating-rate coupon scenario simulation.
1. Zero-Coupon Yield Curve (G-Curve)
The G-Curve reflects sovereign debt yield benchmarks calculated using the Nelson-Siegel-Svensson (NSS) model.
$$y(t) = \beta_0 + \beta_1 \left( \frac{1 - e^{-t/\tau_1}}{t/\tau_1} \right) + \beta_2 \left( \frac{1 - e^{-t/\tau_1}}{t/\tau_1} - e^{-t/\tau_1} \right)$$
2. Z-Spread (Zero-Volatility Spread)
Z-spread represents the constant spread in basis points (bp) added to the G-Curve to discount bond cash flows back to its market price $P$:
$$P = \sum_{t} \frac{C_t}{(1 + G(t) + Z)^t}$$
3. Floater Coupon Predictor
Enables What-If scenario modeling for floating-rate bonds tied to central bank key interest rates.