Timeline for difference of carry for zero coupon bonds in Pedersen and Ilmanen
Current License: CC BY-SA 4.0
3 events
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| Aug 27, 2022 at 10:04 | comment | added | dm63 | I agree. Ilmanen carry is the annualized carry, while the pedersen number is the carry of the bond price. To get from one to the other you need to multiply by the remaining duration (2 in your example). By the way shouldn’t your last equation read (n-1) rather than (n-2) ? | |
| Nov 20, 2021 at 18:37 | history | edited | TickaJules | CC BY-SA 4.0 |
added 12 characters in body
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| Nov 20, 2021 at 15:08 | history | answered | TickaJules | CC BY-SA 4.0 |