Questions tagged [carry]
The carry tag has no usage guidance.
8 questions
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How is future-starting swap PnL decomposed?
So I understand that carry is simply the cost of holding a trade (say for this example, you receive the 10Y rate), and is a fixed known quantity not based on any assumptions (carry = the difference in ...
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What do bloomberg mean by this carry measure?
https://assets.bbhub.io/professional/sites/10/Bloomberg-GSAM-Bond-Futures-Carry-Index-Fact-Sheet.pdf
On page two, they say
SELECTION & REBALANCE On a monthly basis, the carry measure for each
...
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Carry of a short bond position
I am short a 30yr treasury. I am told (in a previous answer linked) that the 6 month carry of this position is given by $$
Rate(0, 30y) - Rate(6m, 29.5y)
$$
Where the first term is the current rate ...
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Carry of a 5s/30s steepener relative to that of an outright long
I understand that the carry of a steepener trade is the cost of financing the position e.g. the rate you are receiving on your short-end long, net the rate you are paying to short the long-end. ...
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Seeking carry on the swap curve
I am considering the carry profile of a 3M forward 5s/30s swap curve steepener in a pre-easing environment (pre fed rate cut). Basically, in 3 months, I will enter into two different swaps:
(1) A swap ...
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Carry Roll Calculation for Interest Rate Swaps in Nordea Note
In the Nordea note linked in few other posts related to carry roll calculation there is a calculation/example for the formulas provided.
https://corporate.nordea.com/api/research/attachment/2796
I'm ...
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Carry and Roll on Interest rate Swap [duplicate]
Only spot starting swaps have a known fixing, F(0,6m). There’s no carry in a
forward starting swap as there’s no certain payments (on the float leg).
This is claimed in an excellent research note by ...
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Carry & Roll for Upfront CDS
We can decompose the P&L for a CDS Position as follows:
P&L = P&L(Carry) + P&L(Roll-Down) + P&L(Curve Shift)
For a fixed horizon (h), Notional (N) and CDS Spread for a maturity T (...
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