# Calculation of Bond Carry from Synthetic future prices

I have only government bond yields with different maturities. How can I obtain sythetic future prices on bonds? After obtained the future prices, I am supposed to compute the return and carry returns.

• May be a duplicate question quant.stackexchange.com/questions/25368/… – noob2 Apr 21 '16 at 20:59
• That question has now been automatically deleted. However like before please provide more detail, can you please define what you mean by synthetic futures? I would expect that derivatives are involved but you don't mention them. – Bob Jansen Apr 22 '16 at 5:40
• Do you know what "carry" is? It is a simple estimate of future 1-Year returns based on the assumption that "the prices currently in the market remain the same". For example assume I buy a US 2-year bond now, collect the income, and can sell it one year from now for the price the market currently believes 1-year bond will be worth one year from now. That hypothetical number is the one year carry on a 2 year bond. Of course your return will be different because market pricing is always changing. Carry is only an estimator of future returns, and a rather simplistic one. You understand this part? – noob2 Apr 22 '16 at 12:12
• In an international context (i.e. with bonds of different countries) you will also need exchange rates to bring the returns to a common currency. So you need at a minimum: bond yields, short term rates and currency rates. And as haginile said below, you can only compute an approximation subject to many assumptions. – noob2 Apr 22 '16 at 14:17
• This paper "Carry" by Pedersen et. al uses Zero Coupon yields, not regular bond yields. papers.ssrn.com/sol3/papers.cfm?abstract_id=2298565 – Alex C Apr 22 '16 at 22:10