Carry vs Roll-Down on a zero-coupon IRSPricing an interest rate swap using Eurodollar futuresBootstrapping zero-rates from AUD swap ratesWhy Central Bank carry out Qe when they can directly force banks to lower down the interest rate?question regarding carry & roll of a bondInterest Rate Swap Pre-Settlement RiskRoll down Treasury curve (Coupon effects)Carry calculation on an interest rate swapTrading Jargon - Interest Rate Swaps / Bond TradingCarry and Rolldown of a Premium bondTreasury futures cost of carry and P&L
Reorder a matrix, twice
Is it impolite to ask for an in-flight catalogue with no intention of buying?
Could Apollo astronauts see city lights from the moon?
What secular civic space would pioneers build for small frontier towns?
Fuel sender works when outside of tank, but not when in tank
If an object moving in a circle experiences centripetal force, then doesn't it also experience centrifugal force, because of Newton's third law?
How 象【しょう】 ( ≈かたち、 すがた、ようす) and 象【ぞう】 (どうぶつ) got to be written with the same kanji?
Safe to use 220V electric clothes dryer when building has been bridged down to 110V?
Averting Bathos
Designing a time thief proof safe
What benefits does the Power Word Kill spell have?
I am 15 years old and do not go to a Yeshiva but would like to learn Talmud. A few rabbis near me said they could teach me. How should I start
Does "as soon as" imply simultaneity?
Is it a good idea to leave minor world details to the reader's imagination?
practicality of 30 year fix mortgage at 55 years of age
How to justify a team increase when the team is doing good?
Carry vs Roll-Down on a zero-coupon IRS
How to see the previous "Accessed" date in Windows
Strange Sticky Substance on Digital Camera
Is it allowed to buy a Probe Bahncard 50 repeatedly?
How to say "cheat sheet" in French
Is it impolite to ask for halal food when traveling to and in Thailand?
Why solving a differentiated integral equation might eventually lead to erroneous solutions of the original problem?
How can this Stack Exchange site have an animated favicon?
Carry vs Roll-Down on a zero-coupon IRS
Pricing an interest rate swap using Eurodollar futuresBootstrapping zero-rates from AUD swap ratesWhy Central Bank carry out Qe when they can directly force banks to lower down the interest rate?question regarding carry & roll of a bondInterest Rate Swap Pre-Settlement RiskRoll down Treasury curve (Coupon effects)Carry calculation on an interest rate swapTrading Jargon - Interest Rate Swaps / Bond TradingCarry and Rolldown of a Premium bondTreasury futures cost of carry and P&L
.everyoneloves__top-leaderboard:empty,.everyoneloves__mid-leaderboard:empty,.everyoneloves__bot-mid-leaderboard:empty margin-bottom:0;
$begingroup$
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?
fixed-income interest-rate-swap quantitative
asked 9 hours ago
V281V281
161 bronze badge
New contributor
V281 is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
$endgroup$
add a comment
|
$begingroup$
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?
fixed-income interest-rate-swap quantitative
asked 9 hours ago
V281V281
161 bronze badge
New contributor
V281 is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
$endgroup$
add a comment
|
$begingroup$
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?
fixed-income interest-rate-swap quantitative
asked 9 hours ago
V281V281
161 bronze badge
New contributor
V281 is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
$endgroup$
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?
fixed-income interest-rate-swap quantitative
fixed-income interest-rate-swap quantitative
asked 9 hours ago
V281V281
161 bronze badge
New contributor
V281 is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked 9 hours ago
V281V281
161 bronze badge
New contributor
V281 is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked 9 hours ago
V281V281
161 bronze badge
New contributor
V281 is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked 9 hours ago
V281V281
161 bronze badge
asked 9 hours ago
V281V281
161 bronze badge
161 bronze badge
New contributor
V281 is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
New contributor
V281 is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
add a comment
|
add a comment
|
2 Answers
2
active
oldest
votes
$begingroup$
(This is my opinion; someone is likely to disagee).
I like to think of the carry as the predictable part (e.g. the coupon that accrues daily) and the rolldown as the stochastic part (the curves moved - maybe the forwards realized, maybe not. A good estimate of what it might turn out to be as to reprice for the next day assuming all forwards are realized.
I would therefore view a zero-coupon as having all rolldown and no carry.
You could view the financing cost of the swap as carry.
answered 8 hours ago
Dimitri VulisDimitri Vulis
9292 silver badges13 bronze badges
$endgroup$
add a comment
|
$begingroup$
Most people would say: carry = the 1day p/l resulting from overnight rate being different from coupon = (3.2- 3.0)* 1day accrual. Roll down = p/l on remaining swap assuming spot rates remain the same = (2.9-3.0) * 9 days accrual.
answered 4 hours ago
dm63dm63
8,5581 gold badge9 silver badges35 bronze badges
$endgroup$
add a comment
|
Your Answer
StackExchange.ready(function()
var channelOptions =
tags: "".split(" "),
id: "204"
;
initTagRenderer("".split(" "), "".split(" "), channelOptions);
StackExchange.using("externalEditor", function()
// Have to fire editor after snippets, if snippets enabled
if (StackExchange.settings.snippets.snippetsEnabled)
StackExchange.using("snippets", function()
createEditor();
);
else
createEditor();
);
function createEditor()
StackExchange.prepareEditor(
heartbeatType: 'answer',
autoActivateHeartbeat: false,
convertImagesToLinks: false,
noModals: true,
showLowRepImageUploadWarning: true,
reputationToPostImages: null,
bindNavPrevention: true,
postfix: "",
imageUploader:
brandingHtml: "Powered by u003ca class="icon-imgur-white" href="https://imgur.com/"u003eu003c/au003e",
contentPolicyHtml: "User contributions licensed under u003ca href="https://creativecommons.org/licenses/by-sa/4.0/"u003ecc by-sa 4.0 with attribution requiredu003c/au003e u003ca href="https://stackoverflow.com/legal/content-policy"u003e(content policy)u003c/au003e",
allowUrls: true
,
noCode: true, onDemand: true,
discardSelector: ".discard-answer"
,immediatelyShowMarkdownHelp:true
);
);
V281 is a new contributor. Be nice, and check out our Code of Conduct.
Sign up or log in
StackExchange.ready(function ()
StackExchange.helpers.onClickDraftSave('#login-link');
);
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function ()
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fquant.stackexchange.com%2fquestions%2f48827%2fcarry-vs-roll-down-on-a-zero-coupon-irs%23new-answer', 'question_page');
);
Post as a guest
Required, but never shown
2 Answers
2
active
oldest
votes
2 Answers
2
active
oldest
votes
active
oldest
votes
active
oldest
votes
$begingroup$
(This is my opinion; someone is likely to disagee).
I like to think of the carry as the predictable part (e.g. the coupon that accrues daily) and the rolldown as the stochastic part (the curves moved - maybe the forwards realized, maybe not. A good estimate of what it might turn out to be as to reprice for the next day assuming all forwards are realized.
I would therefore view a zero-coupon as having all rolldown and no carry.
You could view the financing cost of the swap as carry.
answered 8 hours ago
Dimitri VulisDimitri Vulis
9292 silver badges13 bronze badges
$endgroup$
add a comment
|
$begingroup$
(This is my opinion; someone is likely to disagee).
I like to think of the carry as the predictable part (e.g. the coupon that accrues daily) and the rolldown as the stochastic part (the curves moved - maybe the forwards realized, maybe not. A good estimate of what it might turn out to be as to reprice for the next day assuming all forwards are realized.
I would therefore view a zero-coupon as having all rolldown and no carry.
You could view the financing cost of the swap as carry.
answered 8 hours ago
Dimitri VulisDimitri Vulis
9292 silver badges13 bronze badges
$endgroup$
add a comment
|
$begingroup$
(This is my opinion; someone is likely to disagee).
I like to think of the carry as the predictable part (e.g. the coupon that accrues daily) and the rolldown as the stochastic part (the curves moved - maybe the forwards realized, maybe not. A good estimate of what it might turn out to be as to reprice for the next day assuming all forwards are realized.
I would therefore view a zero-coupon as having all rolldown and no carry.
You could view the financing cost of the swap as carry.
answered 8 hours ago
Dimitri VulisDimitri Vulis
9292 silver badges13 bronze badges
$endgroup$
(This is my opinion; someone is likely to disagee).
I like to think of the carry as the predictable part (e.g. the coupon that accrues daily) and the rolldown as the stochastic part (the curves moved - maybe the forwards realized, maybe not. A good estimate of what it might turn out to be as to reprice for the next day assuming all forwards are realized.
I would therefore view a zero-coupon as having all rolldown and no carry.
You could view the financing cost of the swap as carry.
answered 8 hours ago
Dimitri VulisDimitri Vulis
9292 silver badges13 bronze badges
edited 8 hours ago
answered 8 hours ago
Dimitri VulisDimitri Vulis
9292 silver badges13 bronze badges
answered 8 hours ago
Dimitri VulisDimitri Vulis
9292 silver badges13 bronze badges
answered 8 hours ago
Dimitri VulisDimitri Vulis
9292 silver badges13 bronze badges
9292 silver badges13 bronze badges
add a comment
|
add a comment
|
$begingroup$
Most people would say: carry = the 1day p/l resulting from overnight rate being different from coupon = (3.2- 3.0)* 1day accrual. Roll down = p/l on remaining swap assuming spot rates remain the same = (2.9-3.0) * 9 days accrual.
answered 4 hours ago
dm63dm63
8,5581 gold badge9 silver badges35 bronze badges
$endgroup$
add a comment
|
$begingroup$
Most people would say: carry = the 1day p/l resulting from overnight rate being different from coupon = (3.2- 3.0)* 1day accrual. Roll down = p/l on remaining swap assuming spot rates remain the same = (2.9-3.0) * 9 days accrual.
answered 4 hours ago
dm63dm63
8,5581 gold badge9 silver badges35 bronze badges
$endgroup$
add a comment
|
$begingroup$
Most people would say: carry = the 1day p/l resulting from overnight rate being different from coupon = (3.2- 3.0)* 1day accrual. Roll down = p/l on remaining swap assuming spot rates remain the same = (2.9-3.0) * 9 days accrual.
answered 4 hours ago
dm63dm63
8,5581 gold badge9 silver badges35 bronze badges
$endgroup$
Most people would say: carry = the 1day p/l resulting from overnight rate being different from coupon = (3.2- 3.0)* 1day accrual. Roll down = p/l on remaining swap assuming spot rates remain the same = (2.9-3.0) * 9 days accrual.
answered 4 hours ago
dm63dm63
8,5581 gold badge9 silver badges35 bronze badges
answered 4 hours ago
dm63dm63
8,5581 gold badge9 silver badges35 bronze badges
answered 4 hours ago
dm63dm63
8,5581 gold badge9 silver badges35 bronze badges
answered 4 hours ago
dm63dm63
8,5581 gold badge9 silver badges35 bronze badges
8,5581 gold badge9 silver badges35 bronze badges
add a comment
|
add a comment
|
V281 is a new contributor. Be nice, and check out our Code of Conduct.
V281 is a new contributor. Be nice, and check out our Code of Conduct.
V281 is a new contributor. Be nice, and check out our Code of Conduct.
V281 is a new contributor. Be nice, and check out our Code of Conduct.
Thanks for contributing an answer to Quantitative Finance Stack Exchange!
- Please be sure to answer the question. Provide details and share your research!
But avoid …
- Asking for help, clarification, or responding to other answers.
- Making statements based on opinion; back them up with references or personal experience.
Use MathJax to format equations. MathJax reference.
To learn more, see our tips on writing great answers.
Sign up or log in
StackExchange.ready(function ()
StackExchange.helpers.onClickDraftSave('#login-link');
);
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function ()
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fquant.stackexchange.com%2fquestions%2f48827%2fcarry-vs-roll-down-on-a-zero-coupon-irs%23new-answer', 'question_page');
);
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function ()
StackExchange.helpers.onClickDraftSave('#login-link');
);
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function ()
StackExchange.helpers.onClickDraftSave('#login-link');
);
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function ()
StackExchange.helpers.onClickDraftSave('#login-link');
);
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
