z Spread

[Thomas Obitz]

Hello,

I don't get the final term in the formula for z spread. If I insert the upper bound of the sum (tau / h) into the term after the sigma, I already get exp(-(r(tau)+z) tau) ) - so the final term looks completely redundant?

Regards
Thomas

 

[Thomas Obitz]

Sorry, got it. Final term is the principal.