Calculation of the Bid-Ask Spread on Bloomberg

I downloaded the bid-ask spread from Bloomberg, but did not check how they calculate them.
Is it only the ask minus bid price or is it weighted in a way?

I appreciate your help!

Quantitative Finance Asked by user45980 on January 7, 2021

1 Answers

One Answer

BID/ASK spread always means difference between ASK and BID price. On Bloomberg, the spread is calculated for each price source. There is no averaging.

The same is true for any other kind of spread (e.g. spread of bond yield against government curve). It is simply a difference between two numbers.

Answered by Martin Vesely on January 7, 2021

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