I am trying to understand the differences between carry vs roll-down on a zero-coupon interest rate swap.
Lets say we have a 10 day ZC IRS, meaning we will only swap once on maturity. We are a payer of the swap.
- Current 10-day spot rate: 3%
- Current 9-day spot rate: 2.9%
- Current Overnight rate: 3.2%
What is the carry on this trade? What is the roll-down?