How to calculate carry and roll-down (for a bond future's asset swap) –

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…

Valuation of Forward Contracts - Lesson

Carry and Roll-Down of USD Interest Rate Swaps in Excel with Bloomberg Comparison - Resources

Carry and Roll-Down on a Yield Curve using R code

CFA Level 3 Fixed Income: Carry Trade with Bond Futures

Forward Rate: Definition, Uses, and Calculations

Swap Spread: Definition, Use as an Indicator, and Example

Backwardation: Definition, Causes, and Example

Futures Contracts Overview, CFD vs. Futures Comparison

Carry and Roll-Down of USD Interest Rate Swaps in Excel with Bloomberg Comparison - Resources

Cross-asset carry: an introduction

Credit Derivatives core concepts and glossary

CTA Simplify Managed Futures Strategy ETF

Returns Attribution Analysis

Bonds & bold: When is roll a good predictor of future returns?

Assets Used in Asset Swaps - FasterCapital