carry-roll-down
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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...- Nicole Seaman
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- carry-roll-down fixed-income
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- Forum: P1.T4. Valuation & Risk Models
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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...- Nicole Seaman
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- bond-prices carry-roll-down coupon-effect coupon-rate rate-change realized-forwards spread-change unchanged-term-structure unchanged-yields yield-to-maturity
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- Forum: FRM® Practice Questions