How to calculate carry and roll-down (for a bond future's asset swap) –
By A Mystery Man Writer
Description
Bobl spread is 53.1bp, we are 3 months away from mar18 delivery, and a client blasts “what do you see as carry and roll for OE asw?”. Here are my notes on the mechanics of the calculati…
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Carry and Roll-Down of USD Interest Rate Swaps in Excel with Bloomberg Comparison - Resources
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Forward Rate Formula Definition and Calculation (with Examples)
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Fixed income carry as trading signal
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Asset swap - Wikipedia
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Returns Attribution Analysis
Bonds & bold: When is roll a good predictor of future returns?
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In calculating expected fixed income return, is expected currency return additive or multiplicative? : r/CFA
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Forward Rate: Definition, Uses, and Calculations
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Fixed Income 101: Roll-down
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Assets Used in Asset Swaps - FasterCapital
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Lab Carry
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