In one of my earlier posts I have shown how to use Deriscope to calculate the Carry and Roll of a single interest rate swap.There, I had defined the Carry and Roll-Down CR as:CR = PV(CFinterm) + PV(T) - PV(T0)where CFinterm stands for the cash flows received between the today's date T0 and some future horizon date T (including T, but not T0)P...
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