Goodbye
Due to a change in professional circumstances, I regretfully decided to remove pretty much all of my published posts. Apologies for the inconvenience.
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 calculation as well as some thoughts on its limitations.