質問: forwardYield - spotYield $$ 誰かがこの背後にある論理を明確にしたり派生させたりできますか? ありがとう
回答: キャリーとロールダウンは2つの異なる方法です。 **The carry is the PNL resulting from holding a position**. However, even if you don't finance the bond in repo, you can still measure your carry as the yield-to-maturity of maturity of the bond vs the yield of the alternative default investment you would have made with your cash (for example 0% if sitting on your bank account at 0%, but maybe it'd be 1%, etc). The formula you mention [carry = fwd yield - spot yield] is due to the arbitrage-free assumption: say carry > fwd yield - spot yield, then the fwd yield is priced too low and I could sell the bond fwd, buy it spot, hold it until the fwd delivery date and make a positive PNL. **Roll down is the mark-to-market due to the passage of time assuming that the shape of the curve doesn't change.** This is a strong assumption and has a few limitations. In this post I discuss what carry and roll are, and look at the bond future's asset swap as well: