This is very helpful. Could you maybe do an explainer on your carry & roll dashboard for the yieldcurve trades. I have no problem figuering out carry but how do you calculate roll costs?
maybe do the example on this one https://www.paperalfa.com/p/yield-curve-trading-2. That should hopefully help. Roll is just the fact that you roll in a year from a 3-year to a 2-year bond, this pull (up or down) in yield should be considered when analysing horizon returns.
This is very helpful. Could you maybe do an explainer on your carry & roll dashboard for the yieldcurve trades. I have no problem figuering out carry but how do you calculate roll costs?
Thank you very much for your work.
maybe do the example on this one https://www.paperalfa.com/p/yield-curve-trading-2. That should hopefully help. Roll is just the fact that you roll in a year from a 3-year to a 2-year bond, this pull (up or down) in yield should be considered when analysing horizon returns.