I was going through some reports but having hard time with the jargon. When I google them online I came across the page: http://volcurve.blogspot.com/2007/10/carry-and-roll-down-back-to-basics.html
Unfortunately it is not updated anymore. I am having hard time to understand definitions in the link above. For example:
- Upfront Carry: For a 10-year receive fixed swap, the 1 year carry is the net present value of a 10-year swap less the net present value of a 9-year swap starting 1 year from now.
Does this mean Upfront Carry Return is equal to 10Y Swap Fixed Rate (SFR) - 1Y9Y Forward Swap Fixed Rate? If not, please tell me what is it?
- Upfront roll-down: For a 10-year receive fixed swap, the 1 year roll-down is the net present value of a 10-year swap and less net present value of a 9-year swap today. Same for this. Is Upfront Roll Down Return equal to 10Y SFR - 9Y SFR?
And complete other story is:
- Actual Vol-adjusted Running Carry & Running Roll-down: 1Y Running Carry divided by the actual volatility of the 1Y rate over the past 1 year. Is 1Y rate the reference rate in floating rate or 1Y swap rate or something else?
Really appreciate your help on this and would be grateful if you tell some about this kind of jargon explaining documents/papers/pages.