Questions tagged [carry]
The carry tag has no usage guidance.
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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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