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carry-roll-down

  1. Nicole Seaman

    YouTube T4-31: Fixed income: Carry roll down

    Financial Risk Manager (FRM, Topic 4: Valuation and Risk Models, Fixed Income, Bruce Tuckman Chapter 3, Returns, Spreads and Yields). The Carry-Roll-Down is the price change in the bond due exclusively to the passage of time. It is only one component of a bond's total profit and loss (P&L). The...
  2. Nicole Seaman

    P1.T4.907. The coupon effect and carry roll-down scenarios (Tuckman Ch.3)

    Learning objectives: Define the coupon effect and explain the relationship between coupon rate, YTM, and bond prices. Explain the decomposition of P&L for a bond into separate factors including carry roll-down, rate change, and spread change effects. Identify the most common assumptions in carry...
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