Bond concepts

[amritr]

Hi. Can anyone here please explain the relationship between Z Spread and durationa of a bond? Does higher duration bonds should have higher spreads?

 

[S2000magician]

The two have nothing to do with each other; i.e., they’re statistically independent.

 

[MrSmart]

Higher duration bonds should be less liquid and demand a higher spread, but there is no economix reason to otherwise.

 

[Twol84]

ZCs have the highest duration, and they are among the most liquid products around.
What you might be looking for is the spread duration, not the MacD/ModD.