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…

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

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

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

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