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In this context, I believe carry refers to the sum of "pure" carry + roll down. Carry, in the most general sense, is the return of a position in a static world; i.e., assuming time is the only variable that is changing, what's your holding period return on a trade? When you buy a bond, the "total carry" is the sum of 1) "Pure" carry – you get interest ...


Predictability - we all know what a bootstrapped curve will do when we shift a value. A minimisation, however, could jump to a new minimum at any moment. They also have unpredictable performance; sometimes a minimisation is fast, sometimes slow. Robustness - these codes have been around forever, and they work. New codes, not so much. Defendability - why is ...

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