0

Forwards are flatter in a hiking cycle because market is pricing in expectations of the Fed raising rates. Steeper trades would be carry positive correct?

Forwards are steeper in a hiking cycle because market is pricing in expectations of the Fed easing rates. Flattener trades would be carry negative correct?

Same thing for swaps?

VanillaCall
  • 953
  • 10
  • 26
  • 1
    Take a look at these answers https://quant.stackexchange.com/questions/35795/carry-calculation-on-an-interest-rate-swap/35897#35897, or https://quant.stackexchange.com/questions/36253/question-on-pure-carry-for-two-bonds/36261#36261. I would also strongly advise not falling into the trap of using the word 'carry' without necessarily knowing what it means or what scenario you are hypothesizing. – Attack68 Mar 18 '18 at 11:27
  • Yea you're right. There's pure carry (coupon less financing), total carry which includes pure carry and roll. – VanillaCall Mar 18 '18 at 15:31

0 Answers0