The assumption for calculating the roll of a fixed income instrument is that you roll down the current spot curve. So if 10y rate is 2% and 9.5y is 1.8% the carry for the coming 6 month horizon is 20bp. But why is it market practice to use rolling down the current spot curve? Why isn't the forward curve also used for the roll? Isn't the 6m forward curve in this case not a more suitable predictor than the spot curve?
Is the spot curve used because it's easier? In practice if you would use the forward bond curve for the roll, this forward bond curve would not be the same as the forward based on the coupon and financing costs as the relationship between repo financing costs and implied forward based on spot bond curve are distorted.
In order to calculate the forward bond 'ytm' curve you would first need to fit the current ytm curve and bonds on a curve in practice don't have equal maturity gaps. After fitting you can assume this is a par curve and bootstrap for 0.5 or 1 maturity gaps to get the zero curve. Then you can derive the 6m forward zero curve and forward discount factors. Then you need to discount the cashflows in 6m time of all the bonds to get a forward price and extract the forward ytm from this price. This takes some calculations so maybe that is why just the spot ytm curve is used?
