how do I calculate ZSpread for a govt. bond in a multiple curve framework? I have not come across the exact details anywhere so I want to verify if I'm right. Below is my understanding, please correct me if I'm wrong:
- Specify a discounting curve and a forecasting curve.
- Using the above two curves, calculate the Zero Coupon Swap Rate for several maturities.
- Estimate the parallel shift required to the above Zero Coupon Swap Curve to match the bond price in the market.
This parallel shift is the bond's ZSpread with respect to the specified discounting and forecasting curves. Depending on the set of curves specified, each bond can have multiple ZSpreads.