January 2023
Intermediate to advanced
129 pages
3h 35m
English
Content preview from Inflation-Linked Bonds and Derivatives
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Chapter 4 Forwards, Carry and Trading Strategies
Carry is a concept that crops up all over the financial markets. It refers to systematic differences between points on a curve, be that inflation, bond rates or options. Perhaps one of the oldest examples is simple interest rate carry. On average, interest rates rise with the tenor of the investment or borrowing. Thus, if a long-term investment is funded by rolling short-term borrowings, this can generate a profit in the long term. More generally carry now refers to this type of tenor-related effect over many different curve types. Carry effects can substantially impact the return profile of index-linked products and a good understanding of how it pertains to these products is therefore crucial ...
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