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Carry And Roll Down Calculator

Work out carry and roll down instantly with clear inputs, formula shown and shareable results.

About Carry And Roll Down Calculator

Carry is the yield earned above funding cost; roll-down is the price gain from the bond ageing into a lower point on an upward-sloping curve. Together they give the return if the curve simply stays where it is.

Formula

Carry and roll

Carry = (yield - funding) × horizon; roll-down = yield fall × duration

Worked example

With the default values below, Carry And Roll Down Calculator returns Total Carry And Roll-Down Return of 0.9450%. Change any input above and every figure here is recalculated in your browser.

Inputs used

Bond Yieldaccepts 0–100 %
7.3 %
Funding Rateaccepts 0–100 %
6.4 %
Horizon In Monthsaccepts 1–24
3
Yield Fall From Rolling Down The Curveaccepts 0–200
12

Results

Total Carry And Roll-Down Return
0.9450%
Carry Over The Horizon
0.2250%
Roll-Down Return
0.7200%
Annualised Total Return
3.7800%

Step by step

  1. 1Values used
  2. 2Carry and roll
  3. 3Total Carry And Roll-Down Return= 0.9450
  4. 4Carry Over The Horizon= 0.2250
  5. 5Roll-Down Return= 0.7200
  6. 6Annualised Total Return= 3.7800

Assumptions and limits

  • The result is derived only from the 4 inputs listed above. Anything not among them is not part of the calculation.
  • In particular, this calculator does not take inflation, tax, fees or charges or compounding frequency into account.
  • Figures are rounded for display to 4 decimal places, so totals built from several rounded parts can differ slightly from the unrounded arithmetic.
  • Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

How these calculators are built and tested is described on the Methodology page. If a figure looks wrong, please report it.

Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

Frequently Asked Questions

Why is roll-down a return?

Because a bond with less time to maturity is valued at a lower yield on an upward-sloping curve, so its price rises.

What kills the trade?

A rise in yields large enough to overwhelm carry and roll — the break-even move is total return divided by duration.

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Carry And Roll Down Calculator | Calcrivo