CARRY SURFACE
The Carry Surface
A carry result is only useful when you can see what breaks it.
Carry SurfaceBondStats fixed-income workstation
POSITION INPUTS
HORIZON × YIELD MOVE
Carry Surface—
Carry—
Roll-down—
INTERPRETATION
Carry anatomy
Decompose the return available from simply holding the bond: coupon income, curve roll and the financing bill. The purpose is decomposition: show which assumption creates the result and which risk remains outside the calculation.
Model boundary
This workstation isolates the stated drivers. Optionality, liquidity, tax, settlement and instrument-specific conventions can change realized economics and should be layered in separately.
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