# Tag Info

### Carry calculation on an interest rate swap

I will attempt to summarise the content included in this book, which has a specific chapter dealing with carry and roll-down. There, two concepts are made completely separate. Costs-of-carry are ...

### Carry calculation on an interest rate swap

It turns out that the two things are the same, appropriately scaled. Proof: we can construct a 5 year swap using 3 month libor combined with a 3mo-4.75yr forward swap, weighted by the dv01s of each ...
Accepted

### Mathematical underpinnings of the square root of time rule

For any process with independent increments, by the very fact of statistical independence the variance of $x_{t3}-x_{t1}$ is going to be the sum of the variances of $x_{t2}-x_{t1}$ and $x_{t3}-x_{t2}$ ...
Accepted

### Positive theta on a long put?

If a european option value becomes lower than intrinsic value it gets negative time value. In this circumstance the theta becomes positive because as time approaches to expiry the option value has to ...
Accepted

### Negative theta for a short put

Theta on a European Put option on a non-dividend paying stock is: $$\Theta=-\frac{S_t \sigma}{2\sqrt{\tau}}N'(d_1)+rKe^{-r\tau}N(-d_2)$$ For deep in-the-money Puts, $d_1$ and $d_2$ go to negative ...